Results 181 to 190 of about 5,219 (266)

Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations

International Journal of Finance &Economics, EarlyView.
ABSTRACT We empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates for a sample of emerging markets. Our period of analysis includes episodes of severe stress, such as the Global Financial Crisis, the COVID‐19 pandemic, and the Ukrainian War.
Reinhold Heinlein, Gabriella D. Legrenzi, Scott M. R. Mahadeo   +2 more
wiley   +1 more source

Causal K-Means Clustering. [PDF]

J R Stat Soc Series B Stat Methodol
Kim K, Kim J, Kennedy EH.
europepmc   +1 more source

Revisiting EWMA in High‐Frequency‐Based Portfolio Optimization: A Comparative Assessment

Journal of Applied Econometrics, EarlyView.
ABSTRACT This paper compares the statistical and economic performance of state‐of‐the‐art high‐frequency (HF) based multivariate volatility models with a simpler, widely used alternative, the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S.
Laura Capera Romero, Anne Opschoor
wiley   +1 more source

Pólya-Szegő Inequalities on Submanifolds with Small Total Mean Curvature. [PDF]

J Geom Anal
Aldrigo P, Balogh ZM.
europepmc   +1 more source

High‐Frequency Instruments With Time‐Varying Reliability: Understanding Identification in Macroeconomics

Journal of Applied Econometrics, EarlyView.
ABSTRACT The effects of monetary policy shocks are regularly estimated using high‐frequency surprises in asset prices around central bank meetings as an instrument. These studies, insofar as they explicitly model the relationship between instrument and structural shock, assume a constant relationship between the instrument and the monetary policy shock.
Pooyan Amir‐Ahmadi, Christian Matthes, Mu‐Chun Wang   +2 more
wiley   +1 more source

Linear Stability of Schwarzschild-Anti-de Sitter Spacetimes III: Quasimodes and Sharp Decay of Gravitational Perturbations. [PDF]

Commun Math Phys
Graf O, Holzegel G.
europepmc   +1 more source

Robust Tests of Forecast Accuracy for Factor‐Augmented Regressions With an Application to the Novel EA‐MD‐QD Dataset

Journal of Applied Econometrics, EarlyView.
ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
wiley   +1 more source

Multi-Dimensional Quantum-like Resources from Complex Synchronized Networks. [PDF]

Entropy (Basel)
Saha D, Scholes GD.
europepmc   +1 more source

Improving the Finite Sample Estimation of Average Treatment Effects Using Double/Debiased Machine Learning With Propensity Score Calibration

Journal of Applied Econometrics, EarlyView.
ABSTRACT Double/debiased machine learning (DML) uses for estimating an average treatment effect (ATE) a double‐robust score function that relies on the prediction of nuisance functions, such as the propensity score, which is the probability of treatment assignment given covariates.
Daniele Ballinari, Nora Bearth
wiley   +1 more source

Inference in generalized linear models with robustness to misspecified variances. [PDF]

J Am Stat Assoc
De Santis R, Goeman JJ, Davenport SJ, Hemerik J, Finos L.   +4 more
europepmc   +1 more source