Predictability of cryptocurrency returns: evidence from robust tests
Dependence Modeling, 2022 The paper provides a comparative empirical study of predictability of cryptocurrency returns and prices using econometrically justified robust inference methods.
He Siyun, Ibragimov Rustam
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A great disturbance in the crypto: Understanding cryptocurrency returns under attacks
Blockchain: Research and Applications, 2021 A non-traditional type of financial asset, cryptocurrencies based on public blockchains are still little understood in their real-world behavior. Exogenous events such as cyber-attacks and their media coverage can strongly affect their supply and demand,
Simona Ramos +3 more
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Bias-correcting the realized range-based variance in the presence of market microstructure noise [PDF]
, 2006 Bias correction, Integrated variance, Market microstructure noise, Realized range-based variance, Realized variance, 62E20, 62P20, C10, C80,
Kim Christensen +5 more
core +1 more source
A weighted quantile regression approach for complex high-dimensional heterogeneous data [PDF]
, 2023 MSC (2020) 主题分类 62G05, 62P10, 62P20.With the development of digital intelligent technology, many problems arise, such as information flooding, computing power expansion, data heterogeneity, and complexity, which bring great challenges to the theories of ...
Xiong, W, Tian, M, Yu, K, Pan, H
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Estimating population average treatment effects from experiments with noncompliance
Journal of Causal Inference, 2020 Randomized control trials (RCTs) are the gold standard for estimating causal effects, but often use samples that are non-representative of the actual population of interest.
Ottoboni Kellie N., Poulos Jason V.
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Bayesian estimation of generalized partition of unity copulas
Dependence Modeling, 2020 This paper proposes a Bayesian estimation algorithm to estimate Generalized Partition of Unity Copulas (GPUC), a class of nonparametric copulas recently introduced by [18].
Masuhr Andreas, Trede Mark
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Identification and Estimation of Intensive Margin Effects by Difference-in-Difference Methods
Journal of Causal Inference, 2020 This paper discusses identification and estimation of causal intensive margin effects. The causal intensive margin effect is defined as the treatment effect on the outcome of individuals with a positive outcome irrespective of whether they are treated or
Hersche Markus, Moor Elias
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Statistical estimation of corruption indicators in the firm
, 2016 A new statistical procedure of anti-corruption control of economic activity is proposed in the paper. The task of the firm’s corruption checking is formulated in terms of statistical hypothesis testing.
O. Malafeyev, Yu. A. Pichugin
semanticscholar +1 more source
Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test [PDF]
, 2006 Bootstrap, structural breaks, cointegration testing, extended error correction model, co-breaks, 62M10, 91B84, 62F40, 82C80, 62F03, 62P20,
Alvaro Escribano +4 more
core +2 more sources
Parametric Lorenz curves based on the beta system of distributions
, 2021 Some families of Lorenz curves only approximate specific segments of the income distribution. This potential limitation motivates the consideration of more flexible models, which depart from a convenient form of the Lorenz curve.
Jordá, Vanesa +5 more
core +1 more source