Search results for "Time series"
showing 10 items of 247 documents
¿SE PUEDE MEDIR LA NEGOCIACIÓN INFORMADA?: UNA REVISIÓN DE LA METODOLOGÍA BASADA EN LAS COVARIANZAS DE LAS SERIES DE PRECIOS / CAN WE MEASURE THE INS…
2009
El desarrollo en los modelos teóricos de microestructura ha motivado la aparición de un grupo de trabajos encaminado al estudio empírico de los costes de transacción y sus componentes dada la importancia que han tenido los mismos en el estudio del funcionamiento de los mercados y la comparación entre éstos así como sus numerosas aplicaciones en campos afines (finanzas corporativas, eficiencia de los mercados, etc.). Por otra parte, la contrastación empírica de los distintos modelos establecidos muestra resultados claramente dispares. Por ello, el objetivo de nuestro trabajo es analizar con detalle y en conjunto dichos modelos centrándonos en un grupo con características muy similares. Concr…
A complex network analysis of inbound tourism in Sicily
2019
In this article, the complex dynamics of inbound tourism in Sicily is analyzed for the period 1998–2017. The horizontal visibility graph algorithm is used to transform the overnight stays' time series into a network whose topology is investigated by standard network analysis. Discontinuities in the domestic and international tourism demand were identified in order to detect signals of change and the timing of the directional change in tourism growth. The network degree distribution confirms the complex structure of the destination and reveals the random and thus more unpredictable nature of the international tourism demand in Sicily, compared with a more stable domestic segment. Some policy…
Is the EUA a new asset class?
2022
The listing of a new asset requires knowledge of its statistical properties prior to its use for hedging, speculative or risk management purposes. In this paper, the authors study the stylised facts of European Union Allowances (EUAs) returns. The majority of the phenomena observed, such as heavy tails, volatility clustering, asymmetric volatility and the presence of a high number of outliers are similar to those observed in both commodity futures and financial assets. However, properties such as negative asymmetry, positive correlation with stocks indexes and higher volatility levels during the trading session, typical of financial assets, and the existence of inflation hedge and positive …
Information Decomposition in Multivariate Systems: Definitions, Implementation and Application to Cardiovascular Networks
2016
The continuously growing framework of information dynamics encompasses a set of tools, rooted in information theory and statistical physics, which allow to quantify different aspects of the statistical structure of multivariate processes reflecting the temporal dynamics of complex networks. Building on the most recent developments in this field, this work designs a complete approach to dissect the information carried by the target of a network of multiple interacting systems into the new information produced by the system, the information stored in the system, and the information transferred to it from the other systems; information storage and transfer are then further decomposed into amou…
Synergistic Information Transfer in the Global System of Financial Markets.
2020
Uncovering dynamic information flow between stock market indices has been the topic of several studies which exploited the notion of transfer entropy or Granger causality, its linear version. The output of the transfer entropy approach is a directed weighted graph measuring the information about the future state of each target provided by the knowledge of the state of each driving stock market index. In order to go beyond the pairwise description of the information flow, thus looking at higher order informational circuits, here we apply the partial information decomposition to triplets consisting of a pair of driving markets (belonging to America or Europe) and a target market in Asia. Our …
NOAA-AVHRR Orbital Drift Correction: Validating Methods Using MSG-SEVIRI Data as a Benchmark Dataset
2021
National Oceanic and Atmospheric Administration–Advanced Very High Resolution Radiometer (NOAA-AVHRR) data provides the possibility to build the longest Land Surface Temperature (LST) dataset to date, starting in 1981 up to the present. However, due to the orbital drift of the NOAA platforms, no LST dataset is available before 2000 and the arrival of newer platforms. Although numerous methods have been developed to correct this orbital drift effect on the LST, a lack of validation has prevented their application. This is the gap we bridge here by using the 15 min temporal resolution of Meteosat Second Generation–Spinning Enhanced Visible and Infra-Red Imager (MSG-SEVIRI) data to simulate dr…
Unemployment Flows in Finland, 1969-95: A Time Series Analysis
1998
We adopt a flow approach to analyse Finnish unemployment experience during the last three decades. In addition to data on short-term and total outflow and inflow rates from a relatively long period beginning in 1969, we also have data on duration-specific outflow rates for the period 1984 I–96 II which encompasses the spectacular increase in unemployment in the early nineties. The empirical study shows that both the inflow and the outflow is mainly driven by variation in job opportunities. For a given vacancy-unemployment ratio, the outflow rate has fallen because of changes in unemployment compensation, demographic structure and emigration. The outflow has been only marginally affected by …
Using NASA'S Long Term Data Record version 3 for the monitoring of land surface vegetation
2011
Numerous datasets have been made available for the observation of our planet from space. The aim of this work is the observation of changes in vegetation, through the use of a recent remote sensing dataset, NASA's Long Term Data Record (LTDR). Several authors have pointed out that vegetation monitoring benefits of the simultaneous use of Normalized Difference Vegetation Index (NDVI) and land surface temperature (LST). Therefore, this work presents the procedure developed to monitor vegetation with the LTDR dataset, using both NDVI and LST parameters. This procedure includes data preprocessing (estimation of NDVI and LST, orbital drift correction, atmospherically contaminated data reconstruc…
Multi-Season Phenology Mapping of Nile Delta Croplands Using Time Series of Sentinel-2 and Landsat 8 Green LAI
2022
Space-based cropland phenology monitoring substantially assists agricultural managing practices and plays an important role in crop yield predictions. Multitemporal satellite observations allow analyzing vegetation seasonal dynamics over large areas by using vegetation indices or by deriving biophysical variables. The Nile Delta represents about half of all agricultural lands of Egypt. In this region, intensifying farming systems are predominant and multi-cropping rotations schemes are increasing, requiring a high temporal and spatial resolution monitoring for capturing successive crop growth cycles. This study presents a workflow for cropland phenology characterization and mapping based on…
The macroeconomic effects of public investment: Evidence from advanced economies
2015
This paper provides new evidence of the macroeconomic effects of public investment in advanced economies. Using public investment forecast errors to identify the causal effect of government investment in a sample of 17 OECD economies since 1985 and model simulations, the paper finds that increased public investment raises output, both in the short term and in the long term, crowds in private investment, and reduces unemployment. Several factors shape the macroeconomic effects of public investment. When there is economic slack and monetary accommodation, demand effects are stronger, and the public-debt-to-GDP ratio may actually decline. Public investment is also more effective in boosting ou…