Related papers: Time-scale analysis of co-movement in EU sovereign…
In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level of uncertainty. To obtain exogenous variation in central bank…
For the first time, we apply the wavelet coherence methodology on biofuels (ethanol and biodiesel) and a wide range of related commodities (gasoline, diesel, crude oil, corn, wheat, soybeans, sugarcane and rapeseed oil). This way, we are…
The financial turmoil surrounding the Great Recession called for unprecedented intervention by Central Banks: unconventional policies affected various areas in the economy, including stock market volatility. In order to evaluate such…
Has broadband become a necessity good immune to price changes? Using a 15-year panel of 33 European countries (2010--2024) and two-way fixed effects with Driscoll--Kraay standard errors, we document a fundamental transformation in broadband…
The emerging system at the European level can be conceptualized as a pattern of relations among member states that tends to be reproduced despite disturbances in individual trajectories. The Markov property is used as an indicator of…
The main goal of the paper is to extract the aggregate demand and aggregate supply shocks in Greece, Ireland, Italy and Portugal, as well as to examine the correlation among the two types of shocks. The decomposition of the shocks was…
By using methods of statistical physics, we focus on the quantitative analysis of the economic income data descending from different databases. To explain our approach, we introduce the necessary theoretical background, the extended…
The global crisis caused by the COVID-19 pandemic, in conjunction with the economic consequences and the collapse of health systems, has raised serious concerns in Europe, which is the most affected continent by the pandemic since it…
In this paper, we propose a methodology based on piece-wise homogeneous Markov chain for credit ratings and a multivariate model of the credit spreads to evaluate the financial risk in European Union (EU). Two main aspects are considered:…
This paper investigates a time-varying version of weak-form market efficiency in the BRICS countries. A moving window test for sample autocorrelations is applied alongside a Kalman filter approach to recover the hidden dynamics of the…
This study attempts to investigate into the structure and features of global equity markets from a time-frequency perspective. An analysis grounded on this framework allows one to capture information from a different dimension, as opposed…
This work examines how the dependence structures between energy futures asset prices differ in two periods identified before and after the 2008 global financial crisis. These two periods were characterised by a difference in the number of…
We investigate the use of the Hurst exponent, dynamically computed over a moving time-window, to evaluate the level of stability/instability of financial firms. Financial firms bailed-out as a consequence of the 2007-2010 credit crisis show…
After the fall of the Berlin Wall, Central and Eastern Europe were subject to strong polarisation processes. This article proposes examines two neglected aspects regarding the transition period: a comparative static assessment of foreign…
We use techniques from network science to study correlations in the foreign exchange (FX) market over the period 1991--2008. We consider an FX market network in which each node represents an exchange rate and each weighted edge represents a…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
This paper explores the relationship between economic growth and CO$_2$ emissions across European regions from 1990 to 2022, specifically concerning the dynamics of emissions growth rates through different phases of the European Union…
European singles charts are important part of the music industry responsible for creating popularity of songs. After modeling and exploring dynamics of global album sales in previous papers, we investigate patterns of hit singles popularity…
Population-level dynamics of social cohesion and its underlying mechanisms remain difficult to study. In this paper, we propose a network approach to measure the evolution of social cohesion at the population scale and identify mechanisms…
Based on the quarterly data from 26 advanced economies (AEs) and 18 emerging market economies (EMs) over the past two decades, this paper estimates the short- and medium-term impacts of financial cycles on the duration and amplitude of…