Search Results - subject_exact:"Principal component analysis"

Making sense of labor-market indicators amid data imperfections

Brave, Scott A.; Crust, Erin E.; Eusepi, Stefano; … - 2026

Interpreting real-time labor market conditions is challenging because commonly used indicators are noisy, revised over time, and often send conflicting signals. In practice, policymakers and market participants describe labor market developments using a shared narrative language centered on...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647170

Multivariate statistical analysis of the seismic activity in Morocco using PCA and K-Means clustering

Baraka, Achraf Chakir; Baraka, Kaoutar; Rahmaoui, Mehdi; … - 2026

The rise in seismic waves in Morocco within the last five years prompted an accurate multivariate analysis based on such statistical methods as the classification by the K-Means algorithm and principal component analysis (PCA) of seismic wave quantitative variables for Morocco. The adopted...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667510

How do US business conditions respond to climate risks?

Ahmed, Walid M. A.; Sleem, Mohamed A. E.; Al-Masafri, Amal - 2026

Climate change has become a major macroeconomic challenge with profound implications for the real economy. This study examines the influence of perceived climate-related risks, proxied by news-based indices capturing media attention to global warming, natural disasters, US climate policy, and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676468

Spatial pattern regression for gridded meteorological data : a precipitation and temperature case study

Houssou, Vihotogbé; Carreau, Julie - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015440667

Eigenvalue tests for the number of latent factors in short panels

Fortin, Alain-Philippe; Gagliardini, Patrick; Scaillet, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339146

Asymmetric roles of macroeconomic variables in the real exchange rate : insights from U.S.-Korea data

Behera, Sarthak; Kim, Hyeongwoo; Kim, Soohyon - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015340148

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Asymmetric roles of macroeconomic variables in the real exchange rate : insights from U.S.-Korea data

Behera, Sarthak; Kim, Hyeongwoo; Kim, Soohyon - 2025

Book / Working Paper

Constructing a financial conditions index for Zambia

Musonda, Gabriel; Mwananshiku, Christabel; Wakumelo, Mataa - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015417917

Performance of pairs trading strategies based on principal component analysis methods

Sun, Yufei - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015455223

Simultaneous nowcasting of Netherlands' macroeconomic trends and seasonal patterns based on Fourier analysis

Pijpers, Frank P.; Harlaar, Lucas; Brakel, Jan A. van den; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015408522

Life is more satisfying when evaluated as a whole : a principal component analysis of Mexicans' subjective well-being

Martínez-Sermen̄o, Flor; Sheargren, Powell; Rivera, Rafael - 2025

For decades, there has been consensus that measures of well-being must move past readily available economic data, and newer measurements of well-being are often obtained through individual questions or questionnaires. Despite being more accessible to compare person to person, recent trends have...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015412079

Tracking the operational transmission of monetary policy in Rwanda : a novel PCA-based approach

Kamali, Ivan; Dushime, Christian; Nyabagabo, Tercy - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015595689

Tracking Pillar 2 adjustments through macroeconomic factors : insights from PCA and BVAR

Baškot, Bojan; Lazarević, Milan; Erić, Ognjen; … - 2025

This paper investigates the systemic macroeconomic determinants of Pillar 2 Requirements (P2R) imposed by the European Central Bank (ECB) under the Single Supervisory Mechanism (SSM). While P2R is formally calibrated at the individual bank level through the Supervisory Review and Evaluation...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015556398

What do simple short-term models say about the latest economic trends in Russia?

Simola, Heli - 2025

We consider the applicability of simple statistical models to Russia's short-term economic trends in a wartime context. We develop several composite indicators combining economic variables to predict Russian GDP trends both before and after the invasion if Ukraine in 2022. In addition, our SVAR...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015401980

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What do simple short-term models say about the latest economic trends in Russia?

Simola, Heli - 2025

Book / Working Paper

What charge-off rates are predictable by macroeconomic latent factors?

Kim, Hyeongwoo; Son, Jisoo - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015083505

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What charge‐off rates are predictable by macroeconomic latent factors?

Kim, Hyeongwoo; Son, Jisoo - 2024

Book / Working Paper

What charge‐off rates are predictable by macroeconomic latent factors?

Kim, Hyeongwoo; Son, Jisoo - 2023

Book / Working Paper

Predictive power of U.S. macroeconomic factors for the dollar/won real exchange rate

Behera, Sarthak; Kim, Hyeongwoo; Kim, Soohyon - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014514179

Equity markets and monetary policy surprises

Gupta, Mayank; Pawar, Amit; Kumar, Satyam; Borad, Abhinandan - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014526606

New indicators for measuring financial conditions in a financially dollarized economy

Pérez Forero, Fernando - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015165291

On the forecastability of agricultural output

Kyriazi, Foteini; Xylangouras, Efthymios; Papadogonas, … - 2024

The disruption of supply chain due to Covid-19 and the war in Ukraine, render the prediction of agricultural output a determinant factor of economic life. We consider the predictability of agricultural output based on a set of explanatory variables, that include agricultural input, prices and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015386812

Does investor sentiment affect the Indian stock market? : evidence from Nifty 500 and other selected sectoral indices

Kamath, Aditi N.; Shenoy, Sandeep S.; Abhilash, Abhilash; … - 2024

Investor sentiment is the result of irrational speculations about the future asset values driven by the market participants. Though scholarly works on investor sentiment are evolving in both developed and emerging markets, the literature in the Indian context is relatively modest. To fill this...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015394357

Robust functional principal component analysis for detecting anomalous behaviors in electricity markets

Bernardi, Mara Sabina; Cerasa, Andrea; Grossi, Luigi; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015627091

Multidimensional measures of quality of life : a comparison of methods using U.S. county-level data

Cheng, Yang; Conroy, Tessa; Deller, Steven C. - 2026

There are numerous measures of place-based quality of life, accompanied by ongoing debate over which factors should be included. Past studies have predominately relied on aspatial, subjectively weighted combinations of different place-based characteristics. Little attention has been given to the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638967

The impact of traditional and digital financial inclusion on bank profitability : evidence from Ethiopian commercial banks

Arebo, Mohammed Jatoro; Mekonnen, Andualem Goshu - 2026

While prior research emphasizes the socio-economic benefits of financial inclusion, its implications for bank profitability remain underexplored. This paper employs seven traditional and four digital in- dicators to create a financial inclusion index through principal component analysis (PCA)....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639184

A data-driven problem for integrating carbon-sensitive pricing into inventory optimization

Zemzami, Maria; Duong, Van Tien; Nguyen Nhan Quy; … - 2026

In the face of increasingly stringent carbon regulations and volatile energy markets, integrating environmental constraints into inventory optimization problems raises crucial questions: Is it always economically justified? And what level of problem complexity is appropriate? This paper proposes...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654277

Geopolitical risks, market volatility, and tech firms involved in quantum computing

Panazan, Oana; Gheorghe, Cătălin - 2026

This study examines how global uncertainty influences the financial dynamics of technology firms involved in quantum computing, a strategically significant but structurally fragile segment of emerging deep-tech markets. Using daily data from January 2015 to May 2025, the analysis integrates...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667694

New tests of equal forecast accuracy for factor-augmented regressions with weaker loadings

Margaritella, Luca; Stauskas, Ovidijus - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668482

The diversification of multidimensional liquidity across stock markets

Trang Thi Thanh Chu; Nguyen Duc Trung - 2026

This study aims to analyze the diverse relationships between liquidity measures in markets and then construct a multidimensional liquidity index (LI) for the stock market by systematically integrating multiple aspects of liquidity to enhance the explanatory power of liquidity...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015669182

A Historical-Index Measurement Framework for Agentic Capital: The Georgian Church, Monastic Knowledge Networks, and Institutional Resilience

Gondauri, Davit - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015664241

Financial markets and the economic development index in South Africa : an econometric approach

Kgomo, Dintuku Maggie; Ncanywa, Thobeka - 2026

Economic development is a phenomenon that involves the financial stability and standard of living of a nation's population. To achieve economic prosperity, sound financial development, as a fundamental basis for economic development, is important. The effect of financial markets on economic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015671908

Beyond volatility : a leakage-safe residual-stress signal for drawdown risk monitoring

Liu, Ting - 2026

Monitoring equity drawdown risk requires real-time indicators that can be implemented without look-ahead bias and that may add information beyond standard volatility measures. This study develops a leakage-safe residual-stress indicator from cross-sectional PCA reconstruction errors in U.S....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059391

Automation, Workforce Age Structure, and Firm Productivity: Evidence from Austrian Linked Employer-Employee Data

Mahlberg, Bernhard; Mara, Isilda; Prskawetz, Alexia; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677799

Measuring financial repression in CFA franc zones : index construction and implications for investment activity

Kazemikhasragh, Amirreza - 2026

This study develops a composite index of financial repression to overcome persistent gaps and inconsistencies in financial data across the CFA franc zones. The index aggregates proxies such as interest rate spreads, real interest rates, domestic credit to the private sector as a percentage of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061168

Learning from hospital financial distress associated with negative cash reserves

Shanmugam, Ramalingam; Mileski, Michael; Beauvais, Bradley - 2026

This study introduces a multivariate distance-based framework for analyzing hospital liquidity stress using three financial indicators: cash reserves, days with negative cash, and accounts receivable. Using Definitive Healthcare data from 2020-2025, the study applies principal component analysis...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061377

Automation, workforce age structure, and firm productivity : evidence from Austrian linked employer-employee data

Mahlberg, Bernhard; Mara, Isilda; Fürnkranz-Prskawetz, … - 2026

The aim of this study is to estimate the age-productivity profile of Austrian firms using a linked employer-employee dataset for the years 2013-2022. The OLS and FE estimates indicate a highly significant relationship between workforce age structure and labour productivity. Across both...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016062849

Segmentation of household behavioural types associated with food waste generation in the Republic of Ireland

Krah, Courage Y.; Hynds, Paul; Priyadarshini, Anushree - 2026

Despite the growing number of interventions aimed at reducing household food waste (HFW), many remain overly generalised and fail to adequately account for the heterogeneous routines, motivations, and disposal contexts that shape waste generation. This study, therefore, aimed to identify...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083985

On structurally grouped approximate factor models

Tu, Yundong; Wang, Baiqing - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015554929

Tax capacity assessment and performance : a within state analysis

Vishnu Vivek M; Murugesan, Punniyamoorthy; Lavanya, V. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059465

A high-frequency financial conditions index for Norway

Bowe, Frida; Gerdrup, Karsten R.; Maffei-Faccioli, Nicolò - 2023

We have constructed a financial conditions index for Norway (FCIN). The FCIN offers a daily update on Norwegian financial conditions based on data from January 2003 on bank lending rates, bond spreads, the foreign exchange market, the stock market and the housing market. The index is constructed...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013484734

Forecasting net charge‐off rates of large U.S. bank holding companies using macroeconomic latent factors

Kim, Hyeongwoo; Son, Jisoo - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014249738

Returns co-movement and interconnectedness : evidence from Indonesia banking system

Zuhrohtun, Zuhrohtun; Salim, M. Zulkifli; Sunaryo, Kunti; … - 2023

In this paper, we explore how asset returns used as a proxy to detect interconnectedness of systemic risk in the financial system. Our sample employs a mixture of Indonesian banks' public and prudential data over the 2012-2019 period. Using the Principal Component Analysis and Granger causality...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014503156

Measuring distribution of wealth in Zambia using census micro data : an application of principal component analysis

Mwansa, Floyd - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014288654

Enhancing gradient capital allocation with orthogonal convexity scenarios

Aigner, Philipp; Schlütter, Sebastian - 2023

Gradient capital allocation, also known as Euler allocation, is a technique used to redistribute diversified capital requirements among different segments of a portfolio. The method is commonly employed to identify dominant risks, assessing the risk-adjusted profitability of segments, and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014252258

Estimation of characteristics-based quantile factor models

Chen, Liang; Dolado, Juan J.; Gonzalo, Jesús; Pan, Haozi - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014252757

A comparative analysis of the principal component method and parallel analysis in working with official statistical data

Holubova, Halyna - 2023

The dynamic development of the digitized society generates large-scale information data flows. Therefore, data need to be compressed in a way allowing its content to remain complete and informative. In order for the above to be achieved, it is advisable to use the principal component method...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015051737

A financial conditions index for Iceland

Eysteinn Einarsson; Einarsdóttir, Stella; Tómas Dan … - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015193638

Co-movement of Indonesian state-owned enterprise stocks

Atahau, Apriani Dorkas Rambu; Robiyanto, Robiyanto; … - 2023

According to portfolio theory, diversifying investment to several stocks with negative correlations may reduce portfolio risk. In contrast, combining stocks with similar movement (co-movement) has no impact on portfolio risk reduction. This study aims to examine state-owned enterprise stock...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014230634

New rank-based tests and estimators for common primitive shocks

Carlini, Federico; Rubin, Mirco; Vallarino, Pierluigi - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015361272

A segmentation study on how Czech consumers make household food purchases

Velčovská, Šárka; Prokopová, Vendula - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015415991

Analysis of the 2025 Bundestag elections : part 4 of 4 : Changes in the German political spectrum

Tanguiane, Andranick S. - 2025

This is the last out of four papers on the 2025 German federal elections continuing our analysis of the 2009, 2013, 2017 and 2021 Bundestag elections. First, we apply the model from [Tangian 2022b] to construct the 2025 German political spectrum understood as a contiguous party ordering, i.e.,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015421692

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