Related papers: A global economic policy uncertainty index from pr…
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…
This paper examines how trade policy uncertainty influences the correlation between U.S. stock indices and short-term government bonds. The objective is to assess whether policy-related shocks, especially those linked to trade tensions,…
This paper investigates the identification, the determinacy and the stability of ad hoc, "quasi-optimal" and optimal policy rules augmented with financial stability indicators (such as asset prices deviations from their fundamental values)…
This paper presents a methodological approach to financial time series analysis by combining causal discovery and uncertainty-aware forecasting. As a case study, we focus on four key U.S. macroeconomic indicators -- GDP, economic growth,…
The study and measurement of economic resilience is ruled by high level of complexity related to the diverse structure, functionality, spatiality, and dynamics describing economic systems. Towards serving the demand of integration, this…
This paper investigates the impact of Trade Policy Uncertainty (TPU) on stock-bond correlation dynamics in the United States. Using daily data on major U.S. stock indices and the 10-year Treasury bond from 2015 to 2025, we estimate…
We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval {\Delta} and describe the dependences of…
We propose a multiple imputation method based on principal component analysis (PCA) to deal with incomplete continuous data. To reflect the uncertainty of the parameters from one imputation to the next, we use a Bayesian treatment of the…
Growth rate of the world Growth Domestic Product (GDP) is analysed to determine possible pathways of the future economic growth. The analysis is based on using the latest data of the World Bank and it reveals that the growth rate between…
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
Taking the European Central Bank unconventional policies as a reference, we suggest a class of Multiplicative Error Models (MEM) taylored to analyze the impact such policies have on stock market volatility. The new set of models, called MEM…
Forecast combination -- the aggregation of individual forecasts from multiple experts or models -- is a proven approach to economic forecasting. To date, research on economic forecasting has concentrated on local combination methods, which…
Recent studies highlight economic complexity's role in mitigating fiscal crises, often measured via an economy's trade structure. Trade, however, is just one facet of an economy's structure and omits critical innovative activities like…
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becomes challenging because the associated stochastic control…
Financial market resilience reflects the ability of a financial market to withstand external shocks and to recover from them, while its measurement has yet to be standardized. Accordingly, this paper quantifies the adaptability and…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
Accurate predictions of pollutant concentrations at new locations are often of interest in air pollution studies on fine particulate matters (PM$_{2.5}$), in which data is usually not measured at all study locations. PM$_{2.5}$ is also a…
In economic literature, economic complexity is typically approximated on the basis of an economy's gross export structure. However, in times of ever increasingly integrated global value chains, gross exports may convey an inaccurate image…
Principal component analysis (PCA) is by far the most widespread tool for unsupervised learning with high-dimensional data sets. Its application is popularly studied for the purpose of exploratory data analysis and online process…
The aim of this paper is to identify the determinants of international stock markets integration. Intuitively we selected a great number of factors linked to financial integration. Then, we developed an international asset-pricing model…