Results 211 to 220 of about 226,225 (309)

Intraday Functional PCA Forecasting of Cryptocurrency Returns

Journal of Forecasting, EarlyView.
ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley   +1 more source

Impact of Climate Change, Agricultural Credit and Inflation on Cereal Crop Productivity in Ethiopia: Novel Dynamic Simulated ARDL Approach. [PDF]

Food Sci Nutr
Cao J, Wosene G, Pang Y, Aynalem M, Jadoon AU.   +4 more
europepmc   +1 more source

Term Spread Volatility as a Leading Indicator of Economic Activity

Journal of Forecasting, EarlyView.
ABSTRACT In this paper, we examine the macroeconomic predictive power of the volatility of the US Treasury yield curve slope (term spread volatility). Our forecasting exercise shows that US term spread volatility has significant predictive power for US industrial production and employment growth.
Anastasios Megaritis, Dimitrios Bakas, Theodora Bermpei, Athanasios Triantafyllou   +3 more
wiley   +1 more source

A lightweight neural network approach for predicting national Gross Domestic Product (LightNet-GDP) with regression benchmarks. [PDF]

Sci Rep
Raghavendran CV, Mouli KC, Latha SB, Motagi AU.   +3 more
europepmc   +1 more source

Global Insights Into Term Spreads: Unveiling Their Predictive Power During Unconventional Monetary Policy

Journal of Forecasting, EarlyView.
ABSTRACT This study investigates the predictive power of the term spread for forecasting economic activity across both conventional and unconventional monetary policy regimes. Utilizing data from 22 OECD countries spanning the period from 1985Q1 to 2024Q2, the analysis reveals that the term spread generally maintains its ability to predict GDP growth ...
Petri Kuosmanen, Juuso Vataja
wiley   +1 more source

The effect of macroeconomic shocks on non-performing loans and credit risk in the iranian banking system using time-varying parameter vector autoregressions. [PDF]

PLoS One
Peykani P, Sargolzaei M, Oprean-Stan C, Kamyabfar H, Reghabi A.   +4 more
europepmc   +1 more source

Identifying Drivers of Deviations From Rational Expectations: Using a New Irrational Index for Inflation Forecasts

Journal of Forecasting, EarlyView.
ABSTRACT Most studies on inflation forecasts have studied behavioral biases, informational frictions, or external shocks in isolation, without considering how these factors jointly drive deviations from rational expectations. We therefore adopt an integrated framework that simultaneously estimates the behavioral, informational, and external ...
Belen Chocobar, Peter Claeys
wiley   +1 more source

Large language model-driven time-series forecasting of financial network indicators. [PDF]

Front Artif Intell
Wang MH, Yeung Y.
europepmc   +1 more source

Exploring the Nexus Between Sustainability Index and Central European Stock Markets Competitiveness: Evidence Through Time–Frequency Analysis and SHAP

Journal of Forecasting, EarlyView.
ABSTRACT Sustainability has become an important factor shaping financial markets and investor behavior. This paper examines the relationship between sustainability indices and Central European stock markets using a time–frequency approach. Wavelet coherence is employed to capture time‐varying co‐movements between sustainability indices and stock market
Zuzana Janková, Dipak Kumar Jana, Michal Páleš, Elena Fleaca, Petr Dostál   +4 more
wiley   +1 more source

Formulation and validation of a regional household wealth index for sub-Saharan Africa. [PDF]

PLoS One
Razavi M, Gaba C, Crown W, Nandakumar A.
europepmc   +1 more source