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decomposition (MRD) with the use of maximal overlap discrete wavelet transforms (MODWT). Static wavelet variance and correlation … analysis is performed, and phasing is studied using co-correlation with the euro area by scale. Lastly dynamic conditional … correlation GARCH models are used to obtain dynamic correlation estimates by scale against the EU to evaluate synchronicity of …
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This paper analyses the contribution of survey data, in particular various sentiment indicators, to nowcasts of quarterly euro area GDP. It uses a genuine real-time dataset that is constructed from original press releases in order to transform the actual dataflow into an interpretable flow of...
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In this study, we construct an index using high-frequency data related to financial markets and intermediation services in Turkey, called the High-Frequency Financial Conditions Index, employing alternative statistical techniques for the period from 2006 to 2020. We also analyze the informative...
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