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Energy consumption and economic growth in Kazakhstan : a causality analysis using time series methods

Mutaliyeva, Aigul; Kazanbayeva, Zhanar; Balabekova, Dina; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015617011

Approach to estimating confidence intervals for a business cycle

Martinez-Rivera, Wilmer; Hernandez-Bejarano, Manuel Dario - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015617579

Testing the carbon hysteresis hypothesis in Azerbaijan : evidence from nonlinear unit root tests

Javanshirova, Zuleykha; Mirzayev, Farhad; Babashova, Sakina - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618682

A predictive analytics approach for forecasting global stock index returns using deep learning techniques

Hu, Liang; Shen, Yinru - 2026

Accurately predicting stock index returns remains a critical yet complex task due to the inherent volatility of financial markets and the intricate temporal dependencies within financial time series. This study presents a robust machine learning framework to forecast the relative returns of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654339

Long memory in Latin American sovereign risk : daily evidence on the EMBI

Asturias Schaub, Luis Rodrigo; Caporale, Guglielmo Maria; … - 2026

This paper analyses the long-memory properties of sovereign bond spreads in 17 Latin American countries as well as two regional aggregates using daily EMBI (Emerging Markets Bond Index) data from April 2013 to January 2026 (3,163 observations per series). Parametric methods show that all 19...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654662

Monotonic polynomial GARCH models for conditional higher moments

Beiner, Rouven; Süssmuth, Bernd - 2026

Density expansions such as the Gram-Charlier (GC) expansion allow for the modeling of time-varying higher moments. However, they can suffer from spurious multimodality, negative densities, and asymptotically light tails if truncated. This paper introduces monotonic polynomial generalized...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654688

Estimation and inference for the persistence of extremely high temperatures

Cai, Juan Juan; Lin, Yicong; Schaumburg, Julia; Wang, … - 2026

We propose a nonparametric framework for estimating the extremal index that captures the persistence of extreme observations. The framework provides unified and simple procedures for verifying the well-known local dependence condition D(ᵈ) (un), which characterizes the extremal index yet is...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015567815

Evaluation and prediction of stock market crash risk in Mexico using log-periodic power-law modeling

Sunil, Suryansh; Goyal, Amit Kumar; Mahadeva, Rajesh; … - 2026

This study applies the Log-Periodic Power-Law (LPPL) framework to three major equity markets-Mexico (IPC), Brazil (IBOVESPA), and the United States (NYSE Composite)-using daily closes from 8 November 1991-30 January 2025 for IPC and NYSE, and 3 May 1993-30 January 2025 for IBOVESPA. Multi-window...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611246

Dynamic modelling of heavy-tailed cylindrical time series

Fotso, Chris Toumping; Özer, Yeliz; Palumbo, Dario; … - 2026

A dynamic modelling for heavy-tailed cylindrical time series is developed by combining score-driven models with a generalised Pareto-type cylindrical distribution. The proposed specification extends existing cylindrical models by allowing location, scale, concentration, and crucially, the tail...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015612419

Introducing BISTRO: a foundational model for unconditional and conditional forecasting of macroeconomic time series

Koyuncu, Batuhan; Kwon, Byeungchun; Lombardi, Marco; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015613838

A spectral framework for non-Gaussian SVARs

Guay, Alain; Stevanović, Dalibor - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614076

Interpretable multi-model framework for early warning of SME loan delinquency

Akhmetova, Ardak; Shayakhmetova, Assem; Abdurakhmanov, … - 2026

The rapid expansion of small and medium enterprise (SME) lending has intensified the need for accurate and interpretable credit risk forecasting. Financial institutions must anticipate potential business loan delinquency to maintain portfolio stability and meet regulatory standards. This study...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614113

The credit gap as a real-time early warning indicator of financial imbalances : a South African perspective

Msiska, Wongani; Sikhosana, Ayanda; Vermeulen, Cobus - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615329

Time-varying price discovery

Dias, Gustavo Fruet; Fernandes, Marcelo; Scherrer, Cristina - 2026 - This version: July 11, 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615673

Identifying common trend determinants in panel data

Lee, Yoonseok; Phillips, Peter C. B.; Song, Suyong; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615675

Are there asymmetries in euro area monetary policy?

Pfarrhofer, Michael; Stelzer, Anna - 2026

We assess asymmetries, nonlinearities and state dependencies in dynamic responses of the euro area to monetary policy shocks. The dataset includes macroeconomic, financial, and survey-based variables measuring credit conditions and bank lending transmission channels. These data are observed at...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615809

Regime shifts in U.S. trend inflation : pre-Volcker to post-great moderation

Hu, Ruopu; Maith, Junior; Nishiyama, Shin-Ichi - 2026 - This version: March 6, 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615812

Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2026

We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015592338

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Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2024

Book / Working Paper

Outlier-robust evaluation of fixed-event macroeconomic survey expectations

Delis, Panagiotis; Kontogeorgos, Georgios - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015593667

Mixed frequency data in a heterogenous sticky price model

Andersson, Jonas; Nilsen, Øivind Anti; Skaug, Hans J. - 2026

We develop a model to estimate price-adjustment behavior when prices are observed more frequently than key explanatory variables such as wage costs. We propose a mixed-frequency stochastic (S, s)-model that accommodates infrequently observed costs and allows for plant-, product-, and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015586760

Diagnostic tools for selecting the temporal resolution for seasonal adjustment

Ollech, Daniel; Stefan, Martin - 2026

Official statistics increasingly make use of higher-frequency time series. But when users ultimately are interested in a seasonally adjusted temporal aggregate of these data, we have to decide whether to perform seasonal adjustment or aggregation first. Consequently, we must weigh up the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015587525

A rotated dynamic factor model for the yield curve : squeezing out information when it matters

Casoli, Chiara; Lucchetti, Riccardo - 2026

The yield curve is widely regarded as a powerful descriptor of the economy and market expectations. A common approach to its statistical representation relies on a small number of factors summarizing the curve, which can then be used to forecast real economic activity. We argue that optimal...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015588201

Real-time nowcasting of Kyiv's regional GRP using Google trends and mixed-frequency data

Drin, Svitlana; Zhuravlova, Anastasiia - 2026

imely assessment of regional economic activity in Ukraine is severely constrained by institutional and data-related limitations. Official regional gross regional product (GRP) statistics are available only at low frequency, are published with substantial delays, and, in the post-2022 period, are...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015589819

Persistence in the mint stock markets : evidence from a fractional integration model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Ojo, … - 2026

This paper investigates persistence in the MINT (Mexico, Indonesia, Nigeria, Turkey) stock markets applying fractional integration methods to daily data from 1 January 2022 to 31 October 2025. Different model specifications are estimated for prices, log prices and log returns under the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591911

Total solar irradiance : evidence from a long-memory model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2026

This paper analyses aggregated data (5 days period) on total solar irradiance (TSI) based on the 3D MHD numerical simulations of solar surface and atmosphere (Yeo et al., 2017), from 30 April 2010 to 8 July 2023. It improves upon earlier studies by including in the sample the most recent...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591987

Noncausal AR processes driven by causal GARCH volatility

Velasquez-Gaviria, Daniel; Zakoïan, Jean-Michel - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015604163

Mean group and pooled mixed-frequency estimators of responses of low-frequency variables to high-frequency shocks

Chudik, Alexander; Kilian, Lutz - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015606678

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Mean group and pooled mixed-frequency estimators of responses of low-frequency variables to high-frequency shocks

Chudik, Alexander; Kilian, Lutz - 2026

Book / Working Paper

A new method for measuring underlying ínflation in Türkiye

Çapan, Merve; Gülveren, Ahmet; Özsevinç, Tuba - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015606724

A least-squares filter for sequence-space models

Dinis Rigato, Rodolfo - 2026

Sequence-space models are becoming increasingly popular in macroeconomics, especially in the heterogeneous-agent literature. However, the econometric toolkit for users of these models remains less developed than that available for traditional state-space methods. This note introduces an...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015606824

Redesigning the classical automatic selection of X-11 seasonal filters

Webel, Karsten - 2026

The classical X-11 seasonal adjustment method for monthly and quarterly time series is equipped with routines for data-driven selections of both Henderson trendcycle filters and 3 × k seasonal moving averages, currently involving up to three candidate filters in either case. Although these...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015607327

Advanced time series forecasting of electricity generation in Turkey : a comparative study using LSTM models, ARIMA, and PSO : optimized holt trend

Barak, Mensure Zuhal; Karakas, Esra - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620374

Economic growth and environmental degradation in oman : testing the environmental Kuznets Curve hypothesis using time series analysis

Al-Hajri, Shamsa Salim; Khudari, Mohammed - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620743

Trend inflation and inflation expectations in high dimensional vector autoregressions

Louzis, Dimitrios P. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625693

Bayesian time-series analysis on retreating economic freedom : is there a democratic crisis of liberalism?

Herzog, Bodo - 2026

This study examines the dynamics of economic freedom in nine advanced democracies in comparison to China over the 1970-2022 period. Using data from the Fraser Institute and the Manifesto Project Database, we apply a Bayesian time-series methodology to identify three key patterns. First, economic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626035

Long-run linkages and parameter instability in the gold–silver relationship, 2010-2025

Caporale, Guglielmo Maria; Palomares, Antonio Fons; … - 2026

This paper examines long-run linkages and possible instabilities in the gold–silver price relationship using daily futures prices over the period from 4 January 2010 to 28 November 2025. The empirical analysis includes unit-root and cointegration tests as well as endogenous structural break...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626655

Long memory in Kenyan commodity prices

Caporale, Guglielmo Maria; Njoroge, Mwangi Victor; … - 2026

This study investigates the long-memory properties of the prices of three Kenyan commodities (tea, coffee and horticultural products) by applying fractional integration methods to monthly data spanning the period from August 1998 to December 2024. The empirical results provide evidence of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626665

Trump tariffs and persistence in crude oil prices : a long-memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Ojo, … - 2026

This paper examines the impact on crude oil prices of the trade tariffs announced by the Trump administration on 2 April 2025 ("Liberation Day"). More specifically, it uses fractional integration methods to analyse daily data on WTI, Brent and Murban oil prices spanning the period from 3 June...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626737

Diagnosing the trend and bootstrapping the forecasting intervals using a semiparametric ARMA

Schulz, Dominik; Feng, Yuanhua; Gries, Thomas; Fritz, Marlon - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626944

The R package deseats for data-driven trend and seasonality estimation in time series

Schulz, Dominik - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626951

A semiparametric spatial FARIMA applied in the presence of spatial seasonality

Schulz, Dominik; Do, Thi Thu Huong; Feng, Yuanhua - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626962

Nonlinear business-cycle anatomy

Brianti, Marco; Forni, Mario; Gambetti, Luca; Granese, … - 2026

Building on a frequency-domain identification within a nonlinear Structural Dynamic Factor Model, we study the nonlinear transmission of demand and supply shocks, the two shocks accounting for the bulk of fluctuations in U.S. macroeconomic variables. Supply shocks propagate symmetrically and are...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015627060

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Nonlinear business-cycle anatomy

Brianti, Marco; Forni, Mario; Gambetti, Luca; Granese, … - 2026

Book / Working Paper

Estimating, forecasting and backtesting a family of exponential and other GARCH models using the fEGarch package

Schulz, Dominik; Feng, Yuanhua; Peitz, Christian; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015627061

Dual-trend and dual long-memory time series modelling

Li, Shujie; Feng, Yuanhua - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015627084

Inflation persistence in the SCO countries : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Ojo, … - 2026

This paper uses fractional integration methods to analyse the long-memory and persistence properties of inflation in the Shanghai Cooperation Organization (SCO) countries over the period from 1 January 1997 to 8 January 2025. This approach is more general than standard models based on the I(0)...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015627506

Study on the validity of volatility trading

Castillo, Alberto; Mcwilliams, Jose Manuel Mira - 2026

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628389

How effective is mamba-augmented transformer for stock market price forecasting?

Shuvo, Md Shahria Sarker; Adib, Awsaf Tausif; Emon, Md … - 2026

Stock price forecasting remains challenging due to the non-linear, noisy, and non-stationary nature of financial time series. Although LSTMs and Transformer-based models have improved sequential modeling, their ability to scale efficiently to long financial sequences remains limited. Recently,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628622

Mood in the market : forecasting IPO activity with music sentiment and LSTM

Ding, Qinxu; Guan, Chong; Yu, Yinghui - 2026

We examine whether aggregate "music mood" derived from globally popular songs can help forecast primary equity issuance. We build a Friday-anchored weekly panel that merges SEC EDGAR counts of priced Initial Public Offerings (IPOs) with features from the Spotify Daily Top 200 (audio descriptors...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628658

Bitcoin market efficiency analysis pre- and post-COVID-19 pandemic : an interrupted time series and ARIMAX approach

Makoni, Tendai; Mushori, Providence; Chikobvu, Delson - 2026

The COVID-19 pandemic constitutes one of the most significant exogenous shocks to global financial markets in recent history, raising questions about the robustness of market efficiency under extreme uncertainty. This study examines whether the pandemic affected the weak-form efficiency of the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628708

Canonical rough path over tempered fractional Brownian Motion : existence, construction, and applications

Lechiheb, Atef - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015637968

Persistence and long-run linkages between US stock market prices and bond yields

Salazar, Juan Diego Cafferata; Caporale, Guglielmo Maria; … - 2026

This paper uses fractional integration and cointegration methods to examine the persistence and long-run relationship between the S&P 500 index and the nominal yield to maturity of 10-year US Treasury bonds (GS10) over the period from January 1954 to December 2024. The results indicate that both...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639090