Now showing items 1-10 of 47
Unraveling of Cooperation in Dynamic Collaboration
We examine collaboration in a one-arm bandit problem in which the players' actions affect the distribution over future payoffs. The players need to exert costly effort both to enhance the value of a risky technology and ...
Dynamic Topic Modelling for Cryptocurrency Community Forums
Cryptocurrencies are more and more used in official cash flows and exchange of goods. Bitcoin and the underlying blockchain technology have been looked at by big companies that are adopting and investing in this technology. ...
A Multicity Study of Association between Air Pollution and CHD Mortality in China by Using Time Series Threshold Poisson Regression Model
There are few multicity studies to address the effect of short-term effect of particulate matter air pollution on daily Coronary Heart Disease (CHD) mortality in developing countries, much fewer to further discuss its ...
FRM: a Financial Risk Meter based on penalizing tail events occurrence
In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter (Lambda) of a linear quantile lasso regression. The FRM is calculated by taking ...
RiskAnalytics: an R package for real time processing of Nasdaq and Yahoo finance data and parallelized quantile lasso regression methods
In order to integrate and facilitate the research, calculation and analysis methods around the Financial Risk Meter (FRM) project, the R package RiskAnalytics has been developed. Its main goal is to provide data processing ...
Dynamic Valuation of Weather Derivatives under Default Risk
Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for ...