In this work we employ the Recurrence Quantification Analysis (RQA) framework, effective in discovering evidence of non-linear determinism and complex dynamics in short, noisy and irregular signals. We apply RQA to a set of US macroeconomic time series and simulated sequences in order to provide...

The characterization of term premia movements continues to be a puzzle in finance though the term premia are used for return predictability and studying broader economic activity. We analyze the movements of the first and second conditional moments of term premia in a non-linear non- parametric...

This chapter is dedicated to describe RQA applications in detecting spatio-temporal recurrent patterns of dynamical regimes of economic time series. Here we investigate the nature of economic dynamics and specifically of business cycles Orlando and Zimatore (Chaos, Solitons Fractals 110:82–94,...