Search Results

A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction,
Christoph Berninger, Almond St\"ocker and David R\"ugamer, from arXiv.org (2021)

C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models,
Julia Ackermann, Thomas Kruse and Mikhail Urusov, from arXiv.org (2021)

Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models,
Carlo Favero and Alessandro Melone, from C.E.P.R. Discussion Papers (2020)
Keywords: Return predictability; Mispricing; Equilibrium correction term; Dynamic factor-portfolio models

Higher-Order Income Risk over the Business Cycle,
Alexander Ludwig and Christopher Busch, from C.E.P.R. Discussion Papers (2020)
Keywords: Labor income risk; Business cycle; Gmm estimation; Skewness; Persistent and transitory income shocks; Risk attitudes; Life-cycle model

Likelihood inference on semiparametric models with generated regressors,
Yukitoshi Matsushita and Taisuke Otsu, from London School of Economics and Political Science, LSE Library (2020)

Impact of proportional transaction costs on systematically generated portfolios,
Johannes Ruf and Kangjianan Xie, from London School of Economics and Political Science, LSE Library (2020)
Keywords: diversity-weighted portfolio; equally-weighted portfolio; functionally generated portfolio; portfolio analysis; stochastic portfolio theory; transaction cost

Should I stay or should I go? Migrating away from an incumbent platform,
Gary Biglaiser, Crémer, Jacques and Andre Veiga, from C.E.P.R. Discussion Papers (2022)
Keywords: Platform; Migration; Standardization and compatibility; Industry dynamics

Risk-Taking, Competition and Uncertainty: Do CoCo Bonds Increase the Risk Appetite of Banks?,
Sweder van Wijnbergen, Mahmoud Fatouh and Ioana Neamtu, from C.E.P.R. Discussion Papers (2020)
Keywords: Contingent convertible bonds; Risk taking; Bank capital structure

How Political Insiders Lose Out When International Aid Underperforms: Evidence from a Participatory Development Experiment in G,
Dean Karlan, Katharine Baldwin, Christopher Udry and Ernest Appiah, from C.E.P.R. Discussion Papers (2020)
Keywords: Participatory development; Political economy; International aid; Distributive politics

Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?,
Massimo Guidolin and Manuela Pedio, from BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2020)
Keywords: Backward and forward stepwise regressions; hidden Markov models, out-of-sample forecasting; commodity futures returns; mean-variance portfolios.

Occupational Sorting and Wage Gaps of Refugees,
Christopher Baum, Hans Lööf, Andreas Stephan and Klaus Zimmermann, from Global Labor Organization (GLO) (2020)
Keywords: refugees, wage earnings gap, Blinder–Oaxaca decomposition, employer-employee data, coarsened exact matching, correlated random effects model

Artificial Intelligence in Asset Management,
Söhnke Bartram, Branke, Jürgen and Mehrshad Motahari, from C.E.P.R. Discussion Papers (2020)
Keywords: Algorithmic trading; Machine learning; Lasso; Neural networks; Deep learning; Decision trees; Random forests; Svm; Evolutionary algorithms; Nlp

Semiparametric Estimation of Dynamic Binary Choice Panel Data Models,
Fu Ouyang and Thomas Tao Yang, from University of Queensland, School of Economics (2020)
Keywords: Bundle choices; rank estimation; panel data; bootstrap.

Techno-economic study of output-flexible light water nuclear reactor systems with cryogenic energy storage,
Andy Wilson, William Nuttall and Bartek A Glowacki, from Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2020)
Keywords: uncertainty analysis, power grid economics, energy storage, nuclear power

Merchant renewables and the valuation of peaking plant in energy-only markets,
Paul Simshauser, from Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2020)
Keywords: Merchant renewables, peaking plant, power plant valuations

What does the power outage on 9 August 2019 tell us about GB power system,
Janusz Bialek, from Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2020)
Keywords: power blackouts, UK electricity, security of supply

Merchant utilities and boundaries of the firm: vertical integration in energy-only markets,
Paul Simshauser, from Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2020)
Keywords: vertical integration, electricity markets, energy-only markets, transaction costs, credit ratings

The cost of CO2 abatement from Britain's only PWR: Sizewell B,
David M Newbery, from Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2020)
Keywords: Cost of CO2, Nuclear power, RAB, WACC, Cost Benefit Analysis

The CMA's assessment of customer detriment in the UK retail energy market,
Stephen Littlechild, from Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2020)
Keywords: retail energy markets, market power, efficient costs

Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach,
Alessandro Rebucci, Gianluca Benigno, Andrew Foerster and Christopher Otrok, from C.E.P.R. Discussion Papers (2020)
Keywords: Financial crises; Business cycles; Endogenous regime-switching; Bayesian estimation; Occasionally binding constraints; Mexico

Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band,
Juan Hernandez, from University Library of Munich, Germany (2020)
Keywords: Covered interest parity; stochastic volatility; forward filtering backward smoothing; auxiliary particle filter; density forecast

The Overnight Drift,
Nina Boyarchenko, Lars Larsen and Paul Whelan, from C.E.P.R. Discussion Papers (2020)
Keywords: Equity risk; Overnight returns; Intraday immediacy; Inventory management

Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets,
Hung Do, Rabindra Nepal and Tooraj Jamasb, from Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2020)
Keywords: Market integration, electricity, renewable, energy policy, volatility

Electrification and Socio-Economic Empowerment of Women in India,
Ashish Kumar Sedai, Rabindra Nepal and Tooraj Jamasb, from Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2020)
Keywords: Women Empowerment, Quality of Electrification, Instrumental Variables

Nowcasting Unemployment Insurance Claims in the Time of COVID-19,
William Larson and Tara Sinclair, from Federal Housing Finance Agency (2020)
Keywords: land prices, price gradient, land value taxation, price dynamics

Financial disruptions and heightened uncertainty: a case for timely policy action,
Valeriu Nalban and Andra Smadu, from DNB (2020)
Keywords: JEL codes: Working paper no.

Correcting Estimates of Electric Vehicle Emissions Abatement: Implications for Climate Policy,
Erich Muehlegger and David Rapson, from National Bureau of Economic Research, Inc (2020)

Foreign Exchange Order Flow as a Risk Factor,
Craig Burnside, Mario Cerrato and Zhekai Zhang, from National Bureau of Economic Research, Inc (2020)

Implications of Stochastic Transmission Rates for Managing Pandemic Risks,
Harrison Hong, Neng Wang and Jinqiang Yang, from National Bureau of Economic Research, Inc (2020)

Tokenomics: Dynamic Adoption and Valuation,
Lin Cong, Ye Li and Neng Wang, from National Bureau of Economic Research, Inc (2020)

Necessary Evidence For A Risk Factor’s Relevance,
Alexander M. Chinco, Samuel M. Hartzmark and Abigail B. Sussman, from National Bureau of Economic Research, Inc (2020)

Panel Forecasts of Country-Level Covid-19 Infections,
Laura Liu, Hyungsik Roger Moon and Frank Schorfheide, from National Bureau of Economic Research, Inc (2020)

Building Better Retirement Systems in the Wake of the Global Pandemic,
Olivia Mitchell, from National Bureau of Economic Research, Inc (2020)

Framing, Information, and Welfare,
Andrew Caplin and Daniel Martin, from National Bureau of Economic Research, Inc (2020)

Deadly Debt Crises: COVID-19 in Emerging Markets,
Cristina Arellano, Yan Bai and Gabriel Mihalache, from National Bureau of Economic Research, Inc (2020)

Belief Overreaction and Stock Market Puzzles,
Pedro Bordalo, Nicola Gennaioli, Rafael La Porta and Andrei Shleifer, from National Bureau of Economic Research, Inc (2020)

Epidemic Responses Under Uncertainty,
Michael Barnett, Greg Buchak and Constantine Yannelis, from National Bureau of Economic Research, Inc (2020)

Imperfect Macroeconomic Expectations: Evidence and Theory,
George-Marios Angeletos, Zhen Huo and Karthik A. Sastry, from National Bureau of Economic Research, Inc (2020)

Trading Off Consumption and COVID-19 Deaths,
Robert Hall, Charles Jones and Peter J. Klenow, from National Bureau of Economic Research, Inc (2020)

What Does and Does Not Correlate with COVID-19 Death Rates,
Christopher Knittel and Bora Ozaltun, from National Bureau of Economic Research, Inc (2020)

Race and gender income inequality in the USA: black women vs. white men,
Ivan Kitov, from University Library of Munich, Germany (2020)
Keywords: personal income, evolution, age, race, GDP per capita, USA

Harry Johnson’s “Case for Flexible Exchange Rates†– 50 Years Later,
Maurice Obstfeld, from C.E.P.R. Discussion Papers (2020)
Keywords: Exchange rate regimes; Floating exchange rates; International monetary system; Effective lower bound; Global value chains; Global financial cycle; Dominant currency pricing

Worker reciprocity and the returns to training: evidence from a field experiment,
Jan Sauermann, from Stockholm University, Swedish Institute for Social Research (2020)
Keywords: on-the-job training; reciprocity; worker performance; field experiment

On the observable restrictions of limited consideration models: theory and application,
Yuta Inoue and Koji Shirai, from School of Economics, Kwansei Gakuin University (2020)
Keywords: ; Revealed preference; Limited consideration; Limited attention; Rational short- listing; Bronars f test; Selten fs index

Ecological-economic resilience of a fished coral reef through stochastic multi-species MSY,
Adrien Lagarde, Luc Doyen, Joachim Claudet and Olivier Thebaud, from Bordeaux School of Economics (BSE) (2020)
Keywords: ecological-economics; biodiversity; ecosystems; scenarios; small-scale fisheries, sustainability, resilience, French Polynesia

Nonparametric Tests of Tail Behavior in Stochastic Frontier Models,
William Horrace and Yulong Wang, from Center for Policy Research, Maxwell School, Syracuse University (2020)
Keywords: Hypothesis Testing, Production, Inefficiency, Deconvolution, Extreme Value Theory

Serial-correlation-robust power calculation for the analysis-of-covariance estimator,
Claes Ek, from University of Gothenburg, Department of Economics (2021)
Keywords: power calculation; experimental design; panel data; ANCOVA

Election Systems, the "Beauty Premium" in Politics, and the Beauty of Dissent,
Niklas Potrafke, Marcus Rösch and Heinrich Ursprung, from CESifo (2020)
Keywords: attractiveness of politicians, safe district, party strategies, electoral success, electoral system

Monetary Policy Rule and Taylor Principle in Emerging ASEAN Economies: GMM and DSGE Approaches,
Hiroyuki Taguchi, from University Library of Munich, Germany (2020)
Keywords: Taylor principle; Inflation targeting; Emerging ASEAN; Generalized method of moments (GMM); New Keynesian dynamic stochastic general equilibrium (DSGE)

Covid-19 Coronavirus and Macroeconomic Policy,
Luca Fornaro and ,, from C.E.P.R. Discussion Papers (2020)
Keywords: Coronavirus pandemic; Covid-19; Supply-demand doom loop; Stagnation traps; Monetary policy; Fiscal policy; Productivity growth; Hysteresis

US Sea Level Data: Time Trends and Persistence,
Guglielmo Maria Caporale, Luis Gil-Alana and Laura Sauci, from CESifo (2020)
Keywords: sea level, time trends, fractional integration

Categorical Forecasts and Non-Categorical Loss Functions,
Constantin Bürgi and Dorine Boumans, from CESifo (2020)
Keywords: contingency tables, categorical forecast, profitability, World Economic Survey, directional accuracy, market timing, forecast value

Energy Markets and Global Economic Conditions,
Christiane Baumeister, Dimitris Korobilis and Thomas K. Lee, from CESifo (2020)
Keywords: energy demand, forecasting, stochastic volatility, oil price pressures, petroleum consumption

The Econometrics of Oil Market VAR Models,
Lutz Kilian and Xiaoqing Zhou, from C.E.P.R. Discussion Papers (2020)
Keywords: Elasticity; Identification; Model specification; Bayesian estimation; Structural var; Textual analysis

Search, Information and Prices,
Stephen Morris, Dirk Bergemann and Benjamin Brooks, from C.E.P.R. Discussion Papers (2020)
Keywords: Search; Price competition; Bertrand competition; “law of one price†; Price count; Price quote; Information structure; Bayes correlated equilibrium

Genetic diversity, disease prevalence and the coronavirus pandemic,
Andrew Phiri, from University Library of Munich, Germany (2020)
Keywords: COVID-19; Expected heterozygosity; Disease prevalence; Collectivism; Individualism; Deep roots.

Trust in the Healthcare System and COVID-19 Treatment in the Developing World. Survey and Experimental Evidence from Armenia,
Armenak Antinyan, Thomas Bassetti, Luca Corazzini and Filippo Pavesi, from Department of Economics, University of Venice "Ca' Foscari" (2020)
Keywords: COVID-19, Epidemic, Healthcare system, Trust, Survey experiment

Estimation of Spatial Sample Selection Models: A Partial Maximum Likelihood Approach,
Renata Rabovic and Pavel Cizek, from Faculty of Economics, University of Cambridge (2020)
Keywords: asymptotic distribution, maximum likelihood, near epoch dependence, sample selection model, spatial autoregressive model

A Semi-Parametric Bayesian Generalized Least Square Estimator,
Ruochen Wu and Melvyn Weeks, from Faculty of Economics, University of Cambridge (2020)
Keywords: Bayesian semi-parametric, generalized lease square estimator, Dirichlet process, equation system, seemingly unrelated regression, panel data, random effects model, correlated random effects model.

The Elusive Gains from Nationally-Oriented Monetary Policy,
Martin Bodenstein, Giancarlo Corsetti and Luca Guerrieri, from Faculty of Economics, University of Cambridge (2020)
Keywords: monetary policy cooperation, global imbalances, open-loop Nash games

Testing Stochastic Dominance with Many Conditioning Variables,
Oliver Linton, Myung Hwan Seo and Yoon-Jae Whang, from Faculty of Economics, University of Cambridge (2020)
Keywords: Bootstrap, Empirical process, Home bias, LASSO, Power boosting, Sparsity

Techno-economic study of output-flexible light water nuclear reactor systems with cryogenic energy storage,
Andy Wilson, William Nuttall and Bartek Glowacki, from Faculty of Economics, University of Cambridge (2020)
Keywords: uncertainty analysis, power grid economics, energy storage, nuclear power

Adaptive, Rate-Optimal Testing in Instrumental Variables Models,
Christoph Breunig and Xiaohong Chen, from Cowles Foundation for Research in Economics, Yale University (2020)
Keywords: Instrumental variables, Minimax rate of testing, Adaptive testing, Exponential scan, Confidence sets, Quadratic functionals, Shape restrictions

Good News and Bad News about Newly Imagined Federal Reserve Credit-Allocation Policies,
Edward Kane, from Boston College Department of Economics (2020)
Keywords: Covid-19, Federal Reserve, credit allocation, monetary policy

Occupational Matching and Cities,
Theodore Papageorgiou, from Boston College Department of Economics (2020)
Keywords: Occupations, Agglomeration Economies, Urban Wage Premium, Multi-armed Bandits, Geographical Mobility, Matching Theory, Wage Inequality, Job Vacancy Postings

Three Myths about Federal Regulation,
Patrick A. McLaughlin and Casey Mulligan, from National Bureau of Economic Research, Inc (2020)

Civic Capital and Social Distancing during the Covid-19 Pandemic,
John Barrios, Efraim Benmelech, Yael V. Hochberg, Paola Sapienza and Luigi Zingales, from National Bureau of Economic Research, Inc (2020)

Cost Pass-through in the British Wholesale Electricity Market: Implications of Brexit and the ETS reform,
Bowei Guo and Giorgio Castagneto Gissey, from Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2019)
Keywords: Electricity market, Cost pass-through, Competition, Carbon price, VECM

Are the effects of informational interventions driven by salience?,
Eric Bettinger, Nina Cunha, Guilherme Lichand and Ricardo Madeira, from Department of Economics - University of Zurich (2021)
Keywords: Information, salience, inattention

On the Internal and External Stability of Coalitions and Application to Group Purchasing Organizations,
Dongshuang Hou, Aymeric Lardon and Hao Sun, from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon (2020)
Keywords: Internal and external stability, Group purchasing organization, Cost allocation, Shapley value

Evidence on search costs under hyperinflation in Brazil: the effect of Plano Real,
Julia P Araujo and Mauro Rodrigues, from University of São Paulo (FEA-USP) (2020)
Keywords: Hyperinflation; Search costs; Price dispersion; Structural estimation

Growth and inequality under different hierarchical education regimes,
Graziella Magalhaes and David Turchick, from University of São Paulo (FEA-USP) (2020)
Keywords: Human capital; growth; inequality; educational regime; hierarchical education

Long-term stock returns in Brazil: volatile equity returns for U.S.-like investors,
Eurilton Araújo, Ricardo Brito and Antonio Sanvicente, from University of São Paulo (FEA-USP) (2020)
Keywords: Equity returns; Equity risk premium; Emerging market; Lifetime portfolio selection

The distributional impact of climate change,
Richard Tol, from Department of Economics, University of Sussex Business School (2020)
Keywords: impact of climate change, vulnerability, downscaling

Cost and quality impacts of treatment loci for type 2 diabetes patients with moderate disease severity: Hospital- vs. GP-basedmonitoring,
Ryan Wyeth Pullyblank, Mauro Laudicella and Kim Rose Olsen, from University of Southern Denmark, Dache - Danish Centre for Health Economics (2020)
Keywords: Type 2 diabetes; Disease management; Cost; Quality of care; Administrative data

The Jacobian of the exponential function,
Jan Magnus, Henk G.J. Pijls and Enrique Sentana, from Tinbergen Institute (2020)
Keywords: Matrix differential calculus, Orthogonal matrix, Continuous-time Markov chain, Ornstein-Uhlenbeck process

How Do Parents Perceive the Returns to Parenting Styles and Neighborhoods?,
Lukas Kiessling, from Max Planck Institute for Research on Collective Goods (2020)
Keywords: Beliefs, Parenting styles, Neighborhoods, Child outcomes, Human capital

Additive-Belief-Based Preferences,
David Dillenberger and Collin Raymond, from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2020)
Keywords: Anticipatory utility, Compound lotteries, Preferences over beliefs, Recursive preferences, Resolution of uncertainty

Subjective Information Choice Processes,
David Dillenberger, R. Vijay Krishna and Philipp Sadowski, from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2020)
Keywords: Dynamic Preferences, Information Choice Process, Dynamic Blackwell Dominance, Rational Inattention, Subjective Markov Decision Process

Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting,
Heni Boubaker, Giorgio Canarella, Rangan Gupta and Stephen Miller, from University of Pretoria, Department of Economics (2020)
Keywords: Wavelet decomposition, WLLWNN, Neural network, ARFIMA, HYGARCH

Point and Density Forecasting of Macroeconomic and Financial Uncertainties of the United States,
Afees Salisu, Rangan Gupta and Ahamuefula Ogbonna, from University of Pretoria, Department of Economics (2020)
Keywords: Macroeconomic and financial uncertainties, large number of predictors, constant parameter and time-varying models, forecasting

Spatial Economics for Granular Settings,
Jonathan Dingel and Felix Tintelnot, from National Bureau of Economic Research, Inc (2020)

Liberalism, conservatism and contested boundaries,
John William Tate, from The University of Newcastle, Australia (2019)
Keywords: political theory; political philosophy; liberalism; conservatism

Al Qaeda, fundamentalism and modernity,
John William Tate, from The University of Newcastle, Australia (2019)
Keywords: fundamentalism; Al Qaeda; modernity; Islamic fundamentalism

Kant, providence, and the 'guarantee' of progress,
John William Tate, from The University of Newcastle, Australia (2019)
Keywords: Kant; providence; progress; philosophy; theodicy

Liberty, toleration and persecution: Locke, Mill and the liberal tradition,
John William Tate, from The University of Newcastle, Australia (2019)
Keywords: John Locke; John Stuart Mill; political philosophy; political theory

Qu’est-ce qu'un contexte ? Quentin Skinner et l'histoire des idées,
Nicolas Brisset, from Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France (2020)
Keywords: historiographie, Quentin Skinner, acte de langage

Optimal Incentives to Give,
Marco Castillo and Ragan Petrie, from Institute of Labor Economics (IZA) (2020)
Keywords: charitable giving, mechanism design, field experiment

Taxation in Matching Markets,
Arnaud Dupuy, Alfred Galichon, Sonia Jaffe and Scott Kominers, from Institute of Labor Economics (IZA) (2020)
Keywords: matching, taxation

Family Background and the Responses to Higher SAT Scores,
Georg Graetz, Björn Öckert and Oskar Skans, from Institute of Labor Economics (IZA) (2020)
Keywords: regression discontinuity design, intergenerational transmission of education, educational choice