Related papers: Joint multifractality in the cross-correlations be…
Climate is an evolving complex system with dynamic interactions and non-linear feedback mechanisms, shaping environmental and socio-economic outcomes. Crop production is highly sensitive to climatic fluctuations (and many other…
The correct understanding of commodity price dynamics can bring relevant improvements in terms of policy formulation both for developing and developed countries. Agricultural, metal and energy commodity prices might depend on each other:…
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. The empirical estimation of this effect on complex financial instruments, such as derivatives, is an open problem. To…
There are a number of situations in which several signals are simultaneously recorded in complex systems, which exhibit long-term power-law cross-correlations. The multifractal detrended cross-correlation analysis (MF-DCCA) approaches can…
We analyze the market efficiency of 25 commodity futures across various groups -- metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of…
In plant breeding the presence of a genotype by environment (GxE) interaction has a strong impact on cultivation decision making and the introduction of new crop cultivars. The combination of linear and bilinear terms has been shown to be…
Stock market comovements are examined using cointegration, Granger causality tests and nonlinear approaches in context of mutual information and correlations. Underlying data sets are affected by non-stationarities and trends, we also apply…
In this chapter we studied the nonlinear co-movements between the Mexican Crude Oil price, the Mexican Stock Market Index and the USD/MXN Exchange Rate, for the sample period from 1994 to date. We used a battery of nonlinear tests, cf.…
Fluctuation theorems show how coarse graining transforms microscopic symmetry into observable irreversibility. Here we ask whether an analogous symmetrybased diagnostic can be constructed for financial markets. At the microscopic level,…
This paper constructs a global economic policy uncertainty index through the principal component analysis of the economic policy uncertainty indices for twenty primary economies around the world. We find that the PCA-based global economic…
This paper introduces a Bayesian hierarchical modeling framework within a fully probabilistic setting for crop yield estimation, model selection, and uncertainty forecasting under multiple future greenhouse gas emission scenarios. By…
This paper aims to examine whether the global economic policy uncertainty (GEPU) and uncertainty changes have different impacts on crude oil futures volatility. We establish single-factor and two-factor models under the GARCH-MIDAS…
With escalating macroeconomic uncertainty, the risk interlinkages between energy and food markets have become increasingly complex, posing serious challenges to global energy and food security. This paper proposes an integrated framework…
We analyze daily prices of 29 commodities and 2449 stocks, each over a period of $\approx 15$ years. We find that the price fluctuations for commodities have a significantly broader multifractal spectrum than for stocks. We also propose…
Interstellar medium is turbulent and this induces relative motions of dust grains. We calculate relative velocities of charged grains in a partially ionized magnetized gas. We account for anisotropy of magnetohydrodynamic (MHD) turbulence,…
Grain rotation and grain boundary (GB) sliding are two important mechanisms for grain coarsening and plastic deformation in nanocrystalline materials. They are in general coupled with GB migration and the resulting dynamics, driven by…
A novel continuum theory of incoherent interfaces with triple junctions is applied to study three-dimensional coupled grain boundary (GB) motion in polycrystalline materials. The kinetic relations for grain dynamics, relative sliding and…
This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive specification with drifting coefficients and factor stochastic volatility in the errors to model six…
By adopting Multifractal detrended fluctuation (MF-DFA) analysis methods, the multifractal nature is revealed in the high-frequency data of two typical indexes, the Shanghai Stock Exchange Composite 180 Index (SH180) and the Shenzhen Stock…
Grain boundaries (GBs) and interfaces in polycrystalline materials are significant research subjects in the field of materials science. Despite a more than 50-year history of their study, there are still many open questions. The main…