Central Bank speeches usually function as aggregators of internal quantitative and qualitative analysis of the institutions regarding the macro economy, the monetary policy and the health of the financial systems. Speeches usually function as a summary of the current status of a countries...

This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the "Average Crossing Time" or ACT. We argue that the ACT...

Economy-wide models are an important tool used by fiscal authorities and central banks to support the provision of sound assessment of the economic outlook. The Treasury Macroeconometric Model of Australia ("EMMA") is a framework to support macroeconomic forecasting, and counterfactual policy...

This study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerland, EURO, Japan, and the UK) and the leading...

The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe and WTI in America are compared. OVX index is...

Using state-of-the-art recurrent neural network architectures, this study attempts to predict credit default swap risk premia for BR[I]CS countries as accurately as possible. In the time series setting, these recurrent neural networks are ELMAN, NARX, GRU, and LSTM RNNs, considering local and...

The paper is aimed at a critical review of the literature dealing with text mining and sentiment analysis for stock market prediction. The aim of this work is to create a critical review of the literature, especially with regard to the latest findings of research articles in the selected topic...

This paper presents a framework for quantifying uncertainty around point forecasts for GDP, inflation and house prices in Norway. The framework combines quantile regressions using a broad set of uncertainty indicators with a skewed t-distribution, allowing for time-variation and asymmetry in the...

Purpose - The economic and administrative conditions of countries normatively have an effect on the economy and level of market development. Moreover, it is of great importance for a healthy economy whether the public institutions and organizations are transparent and functioning in accordance...

We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross‐section of short time series of censored observations. Our fully Bayesian approach allows us to flexibly estimate the cross‐sectional distribution of heterogeneous coefficients and then...