Multifractal Detrended Cross-Correlation Analysis of Global Methane and Temperature

Interplay of multifractal dynamics between shadow policy rates and stock markets

Stock markets are generally perceived as a barometer of the economy and respond to international monetary policies even before economic activities. Many central banks have turned to unconventional policy measures in response to various financial crises such as the global financial crisis of 2007-2009 or the recent crisis caused by COVID-19. To examine the cross-correlation of overall international monetary policies with stock markets, we employ the daily shadow short rate (SSR), which has the advantage of allowing comparison across unconventional and conventional regimes. The analysis is made through a multifractal context using multifractal detrended cross correlation analysis (MF-DXA), considering daily data from 1st January 2000 to 31st March 2022 and country specific SSR and the stock markets of eight developed economies. The main empirical findings are the following: (i) all the country specific pairs of SSR with stock markets have significant multifractal characteristics (ii) the pairs of NZ-SSR/NZX50, US-SSR/DJIA, and CN-SSR/S&P TSX have the highest multifractal patterns while EU-SSR/Euro-area Index has the lowest multifractal patterns (iii) Australian and New Zealand stock markets exhibit anti-persistent cross-correlation with SSR while the remainder have persistent cross-correlation in their multifractality. Lastly, the findings of this study have several important implications for central banks and stock market participants.

An extreme wind speed climatology - Atmospheric driver identification using neural networks

Extreme wind speeds are a significant climate risk, potentially endangering human lives, causing damage to infrastructure, affecting maritime and aviation activity, along with the optimal operation of wind energy conversion systems. In this context, accurate knowledge of return levels for various return periods of extreme wind speeds and their atmospheric circulation drivers is essential for effective risk management. In this paper, location-specific extreme wind speed thresholds are identified and return levels of extremes are estimated using the Peaks-Over-Threshold method of the Extreme Value Analysis framework. Furthermore, using an environment-to-circulation approach, the key atmospheric circulation patterns that cause extreme wind speeds are identified. The data used for this analysis are hourly wind speed data, mean sea level pressure and geopotential at 500 hPa from the ERA5 reanalysis dataset, at a horizontal resolution of 0.25° × 0.25°. The thresholds are selected utilizing the Mean Residual Life plots, while the exceedances are modeled with the General Pareto Distribution. The diagnostic metrics exhibit satisfactory goodness-of-fit and the maxima of extreme wind speed return levels are located over marine and coastal areas. The optimal Self-Organizing-Map (2 × 2) is selected using the Davies-Bouldin criterion, and the atmospheric circulation patterns are related to the cyclonic activity in the area. The proposed methodological framework can be applied to other areas, that are endangered by extreme phenomena or in need of accurately assessing the principal drivers of extremes.

Solar Cycle Signal in Climate and Artificial Neural Networks Forecasting

Natural climate variability is partially attributed to solar radiative forcing. The purpose of this study is to contribute to a better understanding of the influence of solar variability on the Earth’s climate system. The object of this work is the estimation of the variation of multiple climatic parameters (temperature, zonal wind, relative and specific humidity, sensible and latent surface heat flux, cloud cover and precipitable water) in response to solar cycle forcing. An additional goal is to estimate the response of the climate system’s parameters to short-term solar variability in multiple forecasting horizons and to evaluate the behavior of the climate system in shorter time scales. The solar cycle is represented by the 10.7 cm solar flux, a measurement collected by terrestrial radio telescopes, and is provided by NOAA/NCEI/STP, whereas the climatic data are provided by the NCEP/NCAR reanalysis 1 project. The adopted methodology includes the development of a linear regression statistical model in order to calculate the climatic parameters’ feedback to the 11-year solar cycle on a monthly scale. Artificial Neural Networks (ANNs) have been employed to forecast the solar indicator time series for up to 6 months in advance. The climate system’s response is further forecasted using the ANN’s estimated values and the regression equations. The results show that the variation of the climatic parameters can be partially attributed to solar variability. The solar-induced variation of each of the selected parameters, averaged globally, was of an order of magnitude of 10−1–10−3, and the corresponding correlation coefficients (Pearson’s r) were relatively low (−0.5–0.5). Statistically significant areas with relatively high solar cycle signals were found at multiple pressure levels and geographical areas, which can be attributed to various mechanisms.

Multivariate Multifractal Detrending Moving Average Analysis of Air Pollutants

One of the most challenging endeavors of contemporary research is to describe and analyze the dynamic behavior of time series arising from real-world systems. To address the need for analyzing long-range correlations and multifractal properties of multivariate time series, we generalize the multifractal detrended moving average algorithm (MFDMA) to the multivariate case and propose a multivariate MFDMA algorithm (MV-MFDMA). The validity and performance of the proposed algorithm are tested by conducting numerical simulations on synthetic multivariate monofractal and multifractal time series. The MV-MFDMA algorithm is then utilized to analyze raw, seasonally adjusted, and remainder components of five air pollutant time series. Results from all three cases reveal multifractal properties with persistent long-range correlations.

Multifractal Cross Correlation Analysis of Agro-Meteorological Datasets (Including Reference Evapotranspiration) of California, United States

The multifractal properties of six acknowledged agro-meteorological parameters, such as reference evapotranspiration (ET0), wind speed (U), incoming solar radiation (SR), air temperature (T), air pressure (P), and relative air humidity (RH) of five stations in California, USA were examined. The investigation of multifractality of datasets from stations with differing terrain conditions using the Multifractal Detrended Fluctuation Analysis (MFDFA) showed the existence of a long-term persistence and multifractality irrespective of the location. The scaling exponents of SR and T time series are found to be higher for stations with higher altitudes. Subsequently, this study proposed using the novel multifractal cross correlation (MFCCA) method to examine the multiscale-multifractal correlations properties between ET0 and other investigated variables. The MFCCA could successfully capture the scale dependent association of different variables and the dynamics in the nature of their associations from weekly to inter-annual time scales. The multifractal exponents of P and U are consistently lower than the exponents of ET0, irrespective of station location. This study found that joint scaling exponent was nearly the average of scaling exponents of individual series in different pairs of variables. Additionally, the α-values of joint multifractal spectrum were lower than the α values of both of the individual spectra, validating two universal properties in the MFCCA studies for agro-meteorological time series. The temporal evolution of cross-correlation determined by the MFCCA successfully captured the dynamics in the nature of associations in the P-ET0 link.