Results 191 to 200 of about 1,697,264 (287)
Shock Propagation within Multisector Firms
Journal of Money, Credit and Banking, EarlyView.Abstract This paper studies the role of multisector firms in the cross‐sectoral propagation of economic shocks. By leveraging an increase in import competition from China as a source of a negative economic shock, we show that employment of an establishment in a given industry is negatively affected by shocks that impact establishments operating in ...
JAY HYUN, ZIHO PARK, VLADIMIR SMIRNYAGIN
wiley +1 more source
Improving Sensitivity Analysis By Synthesizing Randomized Clinical Trials With Limited Overlap. [PDF]
Stat MedJiang K, Hu W, Lai X, Yang S, Zhou XH.
europepmc +1 more source
Contingent capital: A tale of two valuations
Journal of Risk and Insurance, EarlyView.Abstract This study investigates the valuation gap between buyers and sellers of insurers' contingent capital, driven by asymmetric exposures to tax benefits, capital injections, and bankruptcy costs. We develop a novel Twin‐Tree Model with Jumps (TTMJ) that models the insurer's asset value dynamics by incorporating catastrophe risk, insolvency risk ...
Tian‐Shyr Dai +3 more
wiley +1 more source
The shifted convolution problem in function fields. [PDF]
Math AnnFlorea A, Lalín M, Malik A, Sahay A.
europepmc +1 more source
Journal of Time Series Analysis, EarlyView.ABSTRACT Expectile is a coherent and elicitable law‐invariant risk measure widely applied in risk management. Existing methods based on iteratively reweighted least squares (IWLS) are not computationally efficient for large‐scale sample sizes. To overcome the issue, we develop a direct nonparametric conditional expectile function estimator by inverting
Feipeng Zhang, Ping‐Shou Zhong
wiley +1 more source
Cryptanalysis of some nonabelian group-based key exchange protocols. [PDF]
J Math CryptolTinani S, Matteotti C, Rosenthal J.
europepmc +1 more source
Sparse Causal Dynamic Linear Regression
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a sparse causal dynamic regression framework for long multivariate time series. With very long time series, the potentially large number of lags and leads in a dynamic regression model often makes time‐domain estimation numerically unstable or intractable.
Rui Huang, Kung‐Sik Chan
wiley +1 more source
Information-Theoretic Framework for Quantum State Purification and Error Correction via Symmetric Subspace Projection. [PDF]
Entropy (Basel)Tang J, Wang MJ.
europepmc +1 more source
Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
Quasi-Maximum Exponential Likelihood Estimation of Conditional Quantiles for GARCH Models Based on High-Frequency Augmented Data. [PDF]
Entropy (Basel)Zhang Z, Zhao S, Cheng J, Wang A.
europepmc +1 more source