This paper deals with nonlinear time series prediction. The proposed method combines the wavelet decomposition (as a *ltering step) and neural networks to provide an acceptable prediction value. Basically, the wavelet decomposition uses a pair of *lters to decompose iteratively the original time series. It results in a hierarchy of new time series that are easier to model and predict. These *lt...

The interaction of BRICS stock markets with the United States is studied using an asymmetric Granger causality test based on the frequency domain. This type of analysis allows for both positive and negative shocks over different horizons. There is a clear bivariate causality that runs both ways between the United States stock market and the respective BRICS markets. In addition, both negative a...

This study aims to evaluate the link between economic growth and consumer price index (CPI) in Japan for the period of 1980-2014. Initial series were adjusted for stationarity using the Augmented Dickey- Fuller (ADF) test for unit root followed by the application of Johansen Co-integration Test in order to examine the long-run relationship among the variables, while the causalities were evaluat...

Introduction: The causal dynamics between environment, health expenditures and economic growth has recently started to be studied in the economics literature for both developing and developed countries. Methods: This study examines the causal relationship between CO2 emissions, health expenditures and economic growth using dynamic simultaneous-equations models for Iran over the period 1972-2...

The econophysics approach to socio-economic systems is based on the assumption of their complexity. Such assumption inevitably leads to another assumption, namely that underlying interconnections within socio-economic systems, particularly nancial markets, are nonlinear, which is shown to be true even in mainstream economic literature. Thus it is surprising to see that network analysis of nanci...

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation jumps, then, employ a nonlinear Granger causality test with artificial neural networks so as investigate predictability type uncertainty on jumps. Our findings reveal that has significan...

the relationship between economic growth and developments in the ‎financial sector has been one of the most discussed areas in economics ‎for a long time; and the direction of causality – whether financial ‎development causes economic growth or vice versa – is by no means a ‎settled issue.‎this paper investigates the short- run and long-run granger causality ‎between financial development and e...