Papers

Research papers / Publications / Presentations

• Lof, M., and H. Nyberg (2024). Discount rates and cash flows: A local projection approach. Journal of Banking & Finance, forthcoming.
  • Presentations: Nordic Econometric Meeting 2019 (Stockholm);   EEA-ESEM 2019 (Manchester);   Paris December Finance Meeting 2019 (Paris);   ASSA 2020 Annual Meeting (San Diego);   European Finance Assocation (EFA) 2020 Annual Meeting (Helsinki);   SNDE 2020 (Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, Virtual event) (University of Zagreb)
  • Data: Readme-file

• Nyberg, H. and C. Savva (2024). Risk-Return Trade-Off in International Stock Returns: Skewness and Business Cycles. Forthcoming in the Econometrics and Statistics
  • Presentation: CFE 2021 (London)
  • Data: Readme-file

• Ristolainen, K., T. Roukka & Nyberg, H. (2024). A Thousand Words Tell More than just Numbers: Financial Crises and Historical Headlines. Journal of Financial Stability, 70, 101209
  • Working paper versions: SSRN Research Papers (id 3961534) (2021) and Aboa Centre for Economics Discussion paper No. 149, Nov. 2021. 
  • Presentations: Aboa Center of Economics, Univ. of Turku (2021);   Bank of Finland Financial Stability Department Seminar 2/2022, RiskLab/BoF/ESRB Conference on Systemic Risk Analytics 5/2022;   EEA-ESEM 2022 (Milano); Riksbank, 4th conference on Non-traditional Data, Machine Learning, and Natural Language Processing in Macroeconomics 2022 (Stockholm);   ASSA 2023 (New Orleans).
  • Data: Historical economic news article topic series

• Kuntze, V. (2024). The role of coincident information in real-time business cycle forecasting. SSRN Research Paper, id 4692581

• Rihtamo, R., M. Lof & H. Nyberg (2024). Predicting winner and loser stocks: A classification approach. SSRN Research Paper id 4718606.
  • Presentations: CEF (2023);   Finnish Young Statisticians Workshop (2023);  Turku Applied Mathematics and Statistics seminar (2023)

• Heinonen, L., Nyberg, H. & J. Virta (2024). Robust embedding and outlier detection of metric space data. Work in
  progress.

• Virta, J., N.Lietzén, and H. Nyberg (2023). Robust signal dimension estimation via SURE. Forthcoming in the Statistical Papers
  
  • Working paper version: arXiv Research Paper (id 2203.16233) (2022)
  • Data: See Tsay (2010, Analysis of Financial Time Series, 3rd edition) and codes

• Marko Voutilainen, M. P. Ilmonen, L. Viitasaari & N. Lietzén (2023). Note on asymptotic behavior of spatial sign autocovariance matrices. Statistics and Probability Letters 192, 109679
  • Supplementary data

• Nyberg, H. (2022). Risk-Return Relation in Stock Returns under Economic Constraints. SSRN Research Paper (id 4225052). Under revision (Journal of Empirical Finance, 2023)
  • Presentation: eMAF 2020 (Mathematical and Statistical Methods for Actuarial Sciences and Finance)

• Nyberg, H.  and S. Rauhala (2022). A Structural Vector Autoregression Containing Positive-Valued Components. SSRN Research Paper (id 4301748)
  • Presentation: University of Rostock 2023 (Rostock)

• Kuntze, V,. Nyberg, H. and S. Rauhala (2022). Similarity-Based Recession Prediction in Different Interest Rate Environments.  SSRN Research Paper (id 4163483)
  • Presentations: Turku Applied Mathematics and Statistics seminar (2022);  Finnish Young Statisticians Workshop (2022);  CFE 2022 (London);   European Winter Meeting of the Econometric Society 2022 (Berlin);   IAAE 2023 (Oslo);   CEF (2023)

• Kuntze, V., Lanne, M. and H. Nyberg (2022). Similarity-augmented structural vector autoregression: The effects of forward guidance shocks in different monetary policy conditions. SSRN Research Papers (id 4124211).
  
  • Presentations: CEF 2021 (Tokyo);   Finnish Mathematical Days 2022 (Tampere);   IAAE 2022 (London)

• Fredriksson, A., H. Nyberg, and J. Sainio (2022). Coincident Economic Activity Index for the Finnish Economy. SSRN Research Papers (id 4066783)
  • Presentation: Turku Center of Statistics: Nowcasting methods and Finnish business cycles (2019)
  • Data: CEI-FI (see above)

• Nevasalmi, L. (2022). Recession forecasting with high-dimensional data. Journal of Forecasting 41(4), 752 – 764.
  • Working paper version: SSRN Research Papers (id 3630146, Recession forecasting with big data, 2020).

• Lanne, M., and H. Nyberg (2021). Nonparametric Impulse Response Analysis in Changing Macroeconomic Conditions. SSRN working paper (id3888044)
  • Presentations: Helsinki GSE (2020);   Melbourne Online Series of Econometric Seminars (2020);   IAAE 2023 (Oslo)

• Lietzén, N., Viitasaari, L, and P. Ilmonen (2021). Modeling temporally uncorrelated components of complex-valued stationary processes. Modern Stochastics: Theory and Applications 8(4), 475–508
  • Data: See the dataset in the ICS R package

• Una Radojicic, U., N. Lietzén, K. Nordhausen & J. Virta (2021). Dimension Estimation in Two-Dimensional PCA. 12th International Symposium on Image and Signal Processing and Analysis (ISPA)
  • Data: See Kaggle website

• Nevasalmi, L. (2020). Forecasting multinomial stock returns using machine learning methods. The Journal of Finance and Data Science. Volume 6, November 2020, Pages 86-106. Working paper version: SSRN working paper (id3630222)
  • Presentation: CFE 2019 (London)

• Nevasalmi, L., and H. Nyberg (2020). Moving Forward from Predictive Regressions: Boosting Asset Allocation Decisions. SSRN working paper (id3623956)
  • Presentations: Turku Finance Workshop 2019 (Turku);   SoFiE 2022 (Cambridge);   CFE 2022 (London);  CFE 2023 (Berlin) 

• Kauppi H., and H. Nyberg (2020). Optimal selection and weighting of leading economic indicators.
  • Presentations: Helsinki GSE (2019);   ACE (University of Turku, 2019);   CFE 2019 (London)

Domestic publications

• Juvonen, P., Anttonen, J., Fornaro, P., Nissilä, W., Nyberg, H., and H. Pönkä). Aikasarjamallit apuna Suomen talouden seurannassa. The Finnish Economic Journal (Kansantaloudellinen aikakauskirja), 115 (3), 440 – 457

Dissertations

• Lauri Nevasalmi (2020): Essays on economic forecasting using machine learning. Turku School of Economics.

Other Activities

• Member of Management Committee (H. Nyberg) of the COST Action CA21163 – Text, functional and other high-dimensional data in econometrics: New models, methods, applications (HiTEc) 
• Organized session “Econometrics/Ekonometria) at the Finnish Mathematical Days 2022 (Tampere), January 2022
• Organized session ”Statistical learning in macroeconomics and finance” at the 13th International Conference on Computational and Financial Econometrics (CFE 2019), London, December 2019
• Nowcasting seminar at the University of Turku (Turku Center of Statistics, August 2019

Societal Interaction

• Opinion (article, in Finnish): Ristolainen: Väitteet pankkien liiallisesta sääntelystä ovat harhaanjohtavia. Kauppalehti
• Special seminar: Tilastotieteen ja tekoälyn tarjoamat mahdollisuudet vedonlyöntisijoittamisessa ja urheilun mallintamisessa (”Statistics and artificial intelligence in sports betting and modelling sports”) Turku Center of Statistics 13.2.2020