In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...

We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs can be used to understand the relation between...

We propose the method of eigenvalue filtering as a new tool to extract time series subcomponents (such as business-cycle or irregular) defined by properties of the underlying eigenvalues. We logically extend the Beveridge-Nelson decomposition of the VAR time-series models focusing on the...

I present empirical results on the contribution of three key drivers of inflation in Denmark: an inflation trend anchored by inflation expectations; the Danish business cycle; and an energy price cycle. All three drivers contribute significantly to the development of inflation and explain most of...

Wir stellen ein Maß für die Beziehung zwischen zwei Städten/Regionen basierend auf Suchanfragen vor, ausgehend von Merkmalen der Suchanfragen-Zeitreihen nach Zerlegung der Zeitreihe mittels STL (Komponentenzerlegung mittels lokaler linearer Kernregression). Grundlage für das Maß sind...

The objective of the EU Timber Regulation (EUTR), enforced since March 2013, is for importers and exporters to commit to reducing the risk of trading timber products from illegal sources in the EU. EUROSTAT time series on monthly trade with wood products from January 1988 to August 2016 were...

We propose a new information criterion for impulse response function matching estimators (IRFMEs) of the structural parameters of dynamic stochastic general equilibrium (DSGE) macroeconomic models. An advantage of our procedure is that it allows researchers to select the impulse responses that...

A two-regime self-exciting threshold autoregressive process is estimated for quarterly aggregate GDP of the fifteen countries that compose the European Union, and the forecasts from this nonlinear model are compared, by means of a Monte Carlo simulation, with those from a simple autoregressive...

It has become popular recently to apply the multifractal formalism of statistical physics (scaling analysis of structure functions and f(a) singularity spectrum analysis) to financial data. The outcome of such studies is a nonlinear shape of the structure function and a nontrivial behavior of...