Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods

This paper seeks to investigate the dynamic relationship between daily stock market indices in NAFTA countries from 8 November 1991 to 16 March 2018, using for the first time nonlinear, nonparametric, non-stationary methods. We apply two novel nonlinear, nonparametric, non-stationary dynamic correlation techniques rolling window Spearman correlation and wavelet coherence to study the relationships between the three pairwise comparisons. We apply a nonlinear, nonparametric causality test to four specific sub-periods and to the full period of these indices to check the direction of causality. Our results show the following: (1) the correlation between the indices increases from 2000 to 2011, but that correlation increase is interrupted around 2011/2012 and then falls noticeably, picking up again from 2015 onwards. (2) The pairs that show the lowest correlation are those involving the IPC. (3) The causality test reveals nonlinear bidirectional causality for all three indices and all the intervals analysed, indicating that there is a strong interrelationship between NAFTA members. These results are relevant to obtain a better understanding of the complex dynamical system formed by NAFTA stock markets and have direct implications for hedging and portfolio diversification policies. © 2019, Springer Nature B.V.JMPM was funded by a Basque Government post-doctoral fellowship

NonParRolCor: An R package for estimating rolling correlation for two regular time series

The R package NonParRolCor estimates rolling window correlations between two regular time series. The statistical significance estimated for the rolling correlation coefficients addresses effects due to multiple testing. This is done via Monte Carlo simulations by permuting one of the variables and keeping the other fixed. NonParRolCor uses parallel computing to improve computation time when statistical significance is estimated. NonParRolCor contains four functions for estimating and plotting the correlation coefficients for a single window-length or a band of window-lengths. NonParRolCor's functions are highly flexible, since they contain several parameters for controlling the estimation of correlation and the plot output. Some applications are presented to illustrate its use. © 2023 The Author(s)JMPM acknowledges to the Excellence Unit GECOS, Spain (reference number CLU-2019-03 ) at the Universidad de Salamanca for funding support. We would like to show our gratitude to the anonymous reviewers and the Editor Prof. Sobie whose comments and suggestions have been very helpful in improving this paper

Sensitivities of heat-wave mortality projections: Moving towards stochastic model assumptions

This paper analyses the probabilistic future behaviour of heat-waves (HWs) in the city of Madrid in the twenty-first century, using maximum daily temperatures from twenty-one climate circulation models under two representative concentration pathways (RCP 8.5 & RCP 4.5). HWs are modelled considering three factors: number per annum, duration and intensity, characterised by three stochastic processes: Poisson, Gamma and truncated Gaussian, respectively. Potential correlations between these processes are also considered. The probabilistic temperature behaviour is combined with an epidemiological model with stochastic mortality risk following a generalized extreme value distribution (gev). The objective of this study is to obtain probability distributions of mortality and risk measures such as the mean value of the 5% of worst cases in the 21st century, in particular from 2025 to 2100. Estimates from stochastic models for characterising HWs and epidemiological impacts on human health can vary from one climate model to another, so relying on a single climate model can be problematic. For this reason, the calculations are carried out for 21 models and the average of the results is obtained. A sensitivity adaptation analysis is also performed. Under RCP 8.5 for 2100 for Madrid city a mean excess of 3.6 °C over the 38 °C temperature threshold is expected as the average of all models, with an expected attributable mortality of 1614 people, but these figures may be substantially exceeded in some cases if the highest-risk cases occur. © 2021 Elsevier Inc.This research is supported by the Basque Government through the BERC 2018–2021 programme and by the Spanish Ministry of Economy and Competitiveness (MINECO) through BC3 María de Maeztu excellence accreditation MDM-2017-0714. JMPM acknowledges funding support from the SEPE (Spanish National Employment Service), the Junta de Castilla y León , and the European Regional Development Fund (Grant CLU-2019-03 ). We would like to thank Dr. Marc Neumann for his helpful comments. The authors acknowledge to the Spanish Statistical Office - INE (petition: PB206/2021-REGI29396) for proving data of natural daily mortality for the period 2010–2018

Dynamic wavelet correlation analysis for multivariate climate time series

The wavelet local multiple correlation (WLMC) is introduced for the first time in the study of climate dynamics inferred from multivariate climate time series. To exemplify the use of WLMC with real climate data, we analyse Last Millennium (LM) relationships among several large‑scale reconstructed climate variables characterizing North Atlantic: i.e. sea surface temperatures (SST) from the tropical cyclone main developmental region (MDR), the El Niño‑Southern Oscillation (ENSO), the North Atlantic Multidecadal Oscillation (AMO), and tropical cyclone counts (TC). We examine the former three large‑scale variables because they are known to influence North Atlantic tropical cyclone activity and because their underlying drivers are still under investigation. WLMC results obtained for these multivariate climate time series suggest that: (1) MDRSST and AMO show the highest correlation with each other and with respect to the TC record over the last millennium, and: (2) MDRSST is the dominant climate variable that explains TC temporal variability. WLMC results confirm that this method is able to capture the most fundamental information contained in multivariate climate time series and is suitable to investigate correlation among climate time series in a multivariate contextJ.M.P.M was funded by the PIC 444/18 – EU Interreg project MOSES (EAPA 224/2016), FEDER funds and the SEPE (Spanish Public Service of Employment). J.F.M. acknowledges research funding received from UPV/EHU Econometrics Research Group (Basque Government Dpt. of Education grant IT-1359-19) and Spanish Ministry of Economy and Business (grant MTM2016-74931-P)

A multi-resolution and multivariate analysis of the dynamic relationships between crude oil and petroleum-product prices

This paper proposes the use of a novel multivariate, dynamic approach wavelet local multiple correlation (WLMC) (Fernández-Macho, 2018) to analyse the relationship between oil time series in the time-scale domain. This approach is suitable for use with energy data of any kind that change over time and involve heterogeneous agents who make decisions across different time horizons and operate on different time scales. The study of the links between multivariate oil time series is of great importance in energy research, e.g., it is extremely important for petroleum industry refiners and investors to know the relationships and margins between output prices and crude oil costs. The estimation of wavelet correlations in a multivariate framework between such prices is a suitable way to analyse crude oil and petroleum products as a system. To exemplify the use of WLMC, we analyse the relationships between the prices of seven commodities: West Texas Intermediate crude oil and six distilled products (conventional gasoline, regular gasoline, heating oil, diesel fuel, kerosene and propane) from 10/06/2006 to 17/01/2017. The results reveal that the wavelet correlations are strong throughout the period studied and there is a strong decay in correlation values from 2013 to 2015. The most plausible explanation for this decay is overproduction of tight oil in the U.S. and a slowdown in global demand for oil. Furthermore, our results also reveal that heating oil, diesel and kerosene maximise the multiple correlation with respect to the other oil variables on different scales, indicating that these products are the most dependent variables in the crude-product/price system. WLMC offers new opportunities for applications in energy research and other fields. © 2018 Elsevier Lt

A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test

This paper presents an analysis of EU peripheral (so-called PIIGS) stock market indices and the SandP Europe 350 index (SPEURO), as a European benchmark market, over the pre-crisis (2004 2007) and crisis (2008 2011) periods. We computed a rolling-window wavelet correlation for the market returns and applied a non-linear Granger causality test to the wavelet decomposition coefficients of these stock market returns. Our results show that the correlation is stronger for the crisis than for the pre-crisis period. The stock market indices from Portugal, Italy and Spain were more interconnected among themselves during the crisis than with the SPEURO. The stock market from Portugal is the most sensitive and vulnerable PIIGS member, whereas the stock market from Greece tends to move away from the European benchmark market since the 2008 financial crisis till 2011. The non-linear causality test indicates that in the first three wavelet scales (intraweek, weekly and fortnightly) the number of uni-directional and bi-directional causalities is greater during the crisis than in the pre-crisis period, because of financial contagion. Furthermore, the causality analysis shows that the direction of the Granger cause effect for the pre-crisis and crisis periods is not invariant in the considered time-scales, and that the causality directions among the studied stock markets do not seem to have a preferential direction. These results are relevant to better understand the behaviour of vulnerable stock markets, especially for investors and policymakers. © 2017 Elsevier B.V

Moist and warm conditions in Eurasia during the last glacial of the Middle Pleistocene Transition

The end of the Middle Pleistocene Transition (MPT, ~ 800-670 thousand years before present, ka) was characterised by the emergence of large glacial ice-sheets associated with anomalously warm North Atlantic sea surface temperatures enhancing moisture production. Still, the direction and intensity of moisture transport across Eurasia towards potential ice-sheets is poorly constrained. To reconstruct late MPT moisture production and dispersal, we combine records of upper ocean temperature and pollen-based Mediterranean forest cover, a tracer of westerlies and precipitation, from a subtropical drill-core collected off South-West Iberia, with records of East Asia summer monsoon (EASM) strength and West Pacific surface temperatures, and model simulations. Here we show that south-western European winter precipitation and EASM strength reached high levels during the Marine Isotope Stage 18 glacial. This anomalous situation was caused by nearly-continuous moisture supply from both oceans and its transport to higher latitudes through the westerlies, likely fuelling the accelerated expansion of northern hemisphere ice-sheets during the late MPT. © 2023, The Author(s).This research used samples collected during the Expedition no. 339 “Mediterranean Outflow“ of the Integrated Ocean Drilling Program (IODP). M.F.S.G. acknowledges funding from the GPR Human Past (University of Bordeaux). A.B. thanks Deutsche Forschungsgemeinschaft (DFG), project BA 3809/8. C.Z. acknowledges funding from IODP France and J.M.P.-M. from the Junta de Castilla y León and the European Regional Development Fund (Grant CLU-2019-03). T.R. acknowledges funding from FCT through projects Hydroshift (PTDC/CTA-CLI/4297/2021), WarmWorld (PTDC/CTA-GEO/29897/2017), UIDB/04326/2020, UIDP/04326/2020, LA/P/0101/2020 and EMSO-PT (POCI-01-0145-FEDER-022157). We thank Vincent Hanquiez for drawing Fig. and Ludovic Devaux for pollen sample preparation

Recomendaciones de manipulación doméstica de frutas y hortalizas para preservar su valor nutritivo

El beneficio para la salud del consumo diario de al menos 5 raciones entre frutas y hortalizas está bien documentado. En España no se alcanzan los 600 gramos por persona y día que recomienda la Organización Mundial de la Salud (OMS) en sus objetivos de salud pública, por lo que es importante mejorar el acceso a estos alimentos, aprovechar su potencial nutritivo y salvar las barreras para su consumo. Los objetivos de este documento son: facilitar la toma de decisiones responsables con la salud; aprovechar al máximo el valor nutritivo de frutas y hortalizas; ayudar a salvar las barreras para su consumo e informar sobre cómo afecta la conservación, manipulación y cocinado domésticos a su valor nutritivo. Para minimizar la pérdida de nutrientes y mejorar su biodisponibilidad durante la manipulación de frutas y hortalizas, la Asociación para la promoción del consumo de frutas y hortalizas"5 al día" (España) recomienda: evitar almacenamientos prolongados en el refrigerador; aprovechar las capas y hojas exteriores; pelar y/o cortar el alimento justo antes de consumirlo; lavar las piezas enteras y trocearlas posteriormente; controlar el tiempo de remojo de las piezas cortadas; preferir técnicas de cocinado que no requieran contacto directo con el agua; a menor tiempo de cocción, menor pérdida de nutrientes; la fritura correcta conserva muy bien los nutrientes, aunque no debe abusarse de esta técnica; añadir un chorrito de vinagre o de zumo de limón al agua de cocción; aprovechar el agua de los vegetales cocidos para elaborar otros alimentos (ej.: salsas, sopas, purés, etc.), excepto la de acelgas, espinacas o remolacha. La Asociación"5 al día" recomienda aumentar el consumo de frutas y hortalizas, y considera que la pérdida de nutrientes durante su manipulación doméstica no debe entenderse como una barrera para su consumo

Establecimiento del tamaño de raciones de consumo de frutas y hortalizas para su uso en guías alimentarias en el entorno español: propuesta del Comité Científico de la Asociación 5 al día

Introduction: Food servings are standard amounts of food stuffs or drinks to help dietetic advice to promote and preserve health. The aim is to establish the serving size of fruits and vegetables (FH) to be used in food based dietary guidelines (FBDG). Material and Methods: Methodology of the United States Department of Agriculture (USDA) was adapted to establish serving sizes for FBDG, along of the followed by the food exchange system. Data was collected from the FH portion sizes reported in nutritional surveys and common sizes available in the Spanish market, and they were adjusted to an easily recognisable quantities of food with equivalence on key nutrients: the compliance with public health goals for FH consumption was evaluated. Results: Portion sizes typically reported in Spanish nutrition surveys are scarce and not homogeneous, and no data published in scientific journals on portion sizes were available. The Spanish FBDG, in spite of showing a range of serving size for FH, do not assure that they are interchangeable nor specify the method to obtein them.The serving of vegetables was 139,44g (DS:+/- 21.98, CV:0.16), 137,68g (DS:+/- 49,61, CV:0,36) for fruits and 28.00g (DS:+/- 7,53, CV:0.27) for dried fruits. Conclusions: With the established servings, the recommendation of consuming "at least 5 servings of FH a day" would allow reaching the Public Health goals for FH established in 600g (net weight)/person/day. It is recommended that the Spanish Agency for Consumers, Food Safety and Nutrition (AECOSAN) uses this methodology to establish serving sizes for the rest of food groups that make up the FBDG for the Spanish population.Introducción: Las raciones de consumo son cantidades estándar de alimentos o bebidas sugeri-das para asesorar sobre la cantidad de alimento a consumir para preservar un estado de salud adecuado. El objetivo principal de este trabajo es establecer los tamaños de ración de consumo de frutas y hortalizas (FH) para uso en guías alimentarias.Material y Métodos: Se adaptó la metodología de la United States Department of Agriculture (USDA) para el establecimiento de los tamaños de ración de consumo para guías, y la del Sistema de Intercambios. Se recopilaron datos de porción reportados en encuestas y calibres comunes en el mercado, se ajustó a cantidades de alimento fácilmente reconocibles y con equivalencia de nutrientes clave y se evaluó el grado de cumplimiento de los objetivos de salud pública para el consumo de FH. Resultados: Los tamaños de porción típicamente reportados en encuestas españolas son escasos y poco homogéneos, y no se encontraron datos publicados en revistas científicas sobre los cali-bres. Las guías alimentarias españolas, a pesar de mostrar un rango de tamaño de ración para FH no aseguran que sean intercambiables ni especifican el método para llegar a las mismas. La ración de hortalizas obtenida ha sido de 139,44g (DS:±21,98; CV:0,16), de 137,68g (DS:±49,61; CV:0,36) para frutas y 28,00g (DS:±7,53; CV:0,27) para frutas desecadas. . Conclusiones: Con las raciones establecidas, el mensaje “consume al menos 5 raciones entre FH al día” permitiría alcanzar los objetivo de Salud Pública para FH establecidos en 600g (peso neto)/persona/día. Se recomienda a la Agencia Española de Consumo, Seguridad Alimentaria y Nutrición (AECOSAN) que use esta misma metodología para el establecimiento de raciones en el resto de grupos de alimentos que configuran la Guía Dietética Basada en Alimentos para la población española

VisualDom: An R package for estimating dominant variables in dynamical systems[Formula presented]

The R package VisualDom estimates and plots the correlation coefficients obtained via the wavelet local multiple correlation and the variables that maximizes the wavelet multiple correlation through time and scale, i.e. the “dominant” variables of a dynamical system. The novel graphical tool to find out dominant variables that we are proposing is able to obtain knowledge from diverse types of dynamical systems, e.g. the climate system. The functions included in VisualDom are quite flexible because these contain multiple parameters for controlling the plot of the time series under analysis and the heat maps of the correlation coefficients and dominant variables.JMPM acknowledges to the Excellence Unit GECOS (reference number CLU-2019-03), Universidad de Salamanca for funding support