Monthly and yearly inflation rates can be understood as rates of dynamics of the basic inflation indicator i.e. the consumer price index. These indicators modify the original inflation information. It is important to analyze the difference of the consumer price index, monthly and yearly...

Weather conditions influence the health of humans. Changing weather patterns may also cause considerable increase or decrease in the number of deaths. In this paper, we use daily data for Prague, Czech Republic, and the maximum overlap discrete wavelet transform to explore the time scale...

By modifying and generalizing the wavelet-based approach of approximately simulating univariate long-memory processes that is available in the literature, we propose a methodology for simulating a bivariate stationary process, whose components exhibit different relationships at different scales....

An interesting approach to economic and financial time series forecasting consists of decomposing an input time series additively into several components, each component capturing the dynamics of a different frequency range. Consequently, each component is modelled and forecasted separately, the...

Percival and Walden (2002) present a wavelet methodology of the least squares estimation of the long memory parameter for fractionally differenced processes. We suggest that the general idea of using wavelets for estimating long memory could be used for the estimation of long memory in time...

We study the relation between gasoline prices and Google searches for the term “gasoline prices”. Utilizing the framework of a vector autoregressive model and Granger causality, we find a two-way relationship between gasoline prices and Google searches. In both directions, the relation is...

We study the relationship of the VIX index and the exchange traded note VXX on various time scales. We find that changes of VIX and VXX are correlated only contemporaneously on time scales of days, but VIX leads VXX on time scales of months. Next, we construct a simple joint model for VXX and...

The aim of our paper is to formulate and empirically verify the simple backward looking econometric model of the monetary policy rule, which would be able to describe the development of monetary policy rate, namely only on the basis of statistically measured and at the given time available...

The aim of our paper is to formulate and empirically verify the simple backward looking econometric model of the monetary rule, which would be able to describe the development of CNB repo rate, namely only on the basis of statistically measured and in the given time available information. We...