Papers

Research papers / Publications / Presentations

• Nyberg, H. and C. Savva (2022). 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

• Kuntze, V,. Nyberg, H. and S. Rauhala (2022). Similarity-Based Recession Prediction in Different Interest Rate Environments.  SSRN Research Paper (id 4163483) 

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

• 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).

• Virta, J., N.Lietzén, and H. Nyberg (2022). Robust signal dimension estimation via SURE. arXiv Research Paper (id 2203.16233)

• Fredriksson, A., H. Nyberg, and J. Sainio (2022). Coincident Economic Activity Index for the Finnish Economy. SSRN Research Papers (id 4066783)

• 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)

• Ristolainen, K., T. Roukka & Nyberg, H. (2021). A Thousand Words Tell More than just Numbers: Financial Crises and Historical Headlines. SSRN Research Papers (id 3961534), Aboa Centre for Economics Discussion paper No. 149, Nov. 2021
  • Data: Historical economic news article topic series
  • 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, Stockholm (2022). 4th conference on Non-traditional Data, Machine Learning, and Natural Language Processing in Macroeconomics 2022, ASSA  2023, New Orleans.

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

• 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

• 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)
  • Presentation: Turku Finance Workshop 2019, SoFiE 2022 (Cambridge)

• 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)

• Nyberg, H. (2020). Taking zero lower bound seriously: A structural vector autoregression containing positive-valued components.  Work in progress

• Lof, M., and H. Nyberg (2019). Discount rates and cash flows: A local projection approach. Proceedings of Paris December 2019 Finance Meeting EUROFIDAI –ESSEC (id3372138)
  • Presentations: Nordic Econometric Meeting 2019 (Stockholm), EEA-ESEM 2019 (Manchester), Paris December Finance Meeting 2019, 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) 

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