Now showing items 21-30 of 243
Forecasting Limit Order Book Liquidity Supply Demand Curves with Functional AutoRegressive Dynamics
Limit order book contains comprehensive information of liquidity on bid and ask sides. We propose a Vector Functional AutoRegressive (VFAR) model to describe the dynamics of the limit order book and demand curves and utilize ...
Downside riskand stock returns
An empirical analysis ofthe long-run and short-run dynamics from the G-7 Countries
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations ...
College Admissionswith Entrance Exams
We study a college admissions problem in which colleges accept students by ranking students’ efforts in entrance exams. Students’ ability levels affect the cost of their efforts. We solve and compare the equilibria of ...
Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions
This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and ...
Simultaneous Inference for the Partially Linear Model with a Multivariate Unknown Function when the Covariates are Measured with Errors
In this paper, we analyze the nonparametric part of a partially linear model when the covariates in parametric and non-parametric parts are subject to measurement errors. Based on a two-stage semi-parametric estimate, we ...
Academic Ranking Scales in Economics
Prediction and Imputation
Publications are a vital element of any scientist’s career. It is not only the number of media outlets but aslo the quality of published research that enters decisions on jobs, salary, tenure, etc. Academic ranking scales ...
A Mortality Model forMulti-populations
A Semi-Parametric Approach
Mortality is different across countries, states and regions. Several empirical research works however reveal that mortality trends exhibit a common pattern and show similar structures across populations. The key element ...