Our study deals with interest rate pass-through for household and corporate deposits in the Central and Eastern European (CEE) region, focusing on the tightening cycle starting in the middle of 2021. This period is of particular interest for interest rate pass-through, as the sharp hikes by...

The aim of this article is the prediction of GDP Polish and other selected European countries. For this purpose integrated into one algorithm econometric methods and wavelet analysis. Econometric methods and wavelet transform are combined goal of constructing a copyright model for predicting...

In economics it is common to distinguish between different time horizons (i.e. short run, medium run, and long run). Engle (1974) proposed combining the discrete Fourier transform with a band spectrum regression to estimate models that separates between different time horizons. In this paper we...

This paper investigates how classical measurement error and additive outliers influence tests for structural change based on F-statistics. We derive theoretically the impact of general additive disturbances in the regressors on the asymptotic distribution of these tests for structural change ....

We propose a novel approach that combines random forests and the wavelet transform to model the prediction of currency crises. Our classification model of random forests, built using both standard predictors and wavelet predictors, and obtained from the wavelet transform, achieves a demonstrably...

In this paper we address the issue of modeling spot electricity prices. After analyzing factors leading to the unobservable in other financial or commodity markets price dynamics we propose a mean reverting jump diffusion model. We fit the model to data from the Nord Pool power exchange and find...

This paper investigates how classical measurement error and additive outliers influence tests for structural change based on F-statistics. We derive theoretically the impact of general additive disturbances in the regressors on the asymptotic distribution of these tests for structural change ....

Microgrids are a highly efficient means of embedding distributed generation sources in a power system. However, if a fault occurs inside or outside the microgrid, the microgrid should be immediately disconnected from the main grid using a static switch installed at the secondary side of the main...

Energy management systems strive to use energy resources efficiently, save energy, and reduce carbon output. This study proposes transient feature analyses of the transient response time and transient energy on the power signatures of non-intrusive demand monitoring and load identification to...

Statistical studies that consider multiscale relationships among several variables use wavelet correlations and cross-correlations between pairs of variables. This procedure needs to calculate and compare a large number of wavelet statistics. The analysis can then be rather confusing and even...