Related papers: Bilateral multifactor CES general equilibrium with…
This work proposes a novel procedure to test for common structures across two high-dimensional factor models. The introduced test allows to uncover whether two factor models are driven by the same loading matrix up to some linear…
We study counterfactual classification as a new tool for decision-making under hypothetical (contrary to fact) scenarios. We propose a doubly-robust nonparametric estimator for a general counterfactual classifier, where we can incorporate…
One fundamental statistical question for research areas such as precision medicine and health disparity is about discovering effect modification of treatment or exposure by observed covariates. We propose a semiparametric framework for…
We consider how exchanges of support between parents and adult children vary by demographic and socio-economic characteristics and examine evidence for reciprocity in transfers and substitution between practical and financial support. Using…
China has experienced an outstanding economic expansion during the past decades, however, literature on non-monetary metrics that reveal the status of China's regional economic development are still lacking. In this paper, we fill this gap…
This paper investigates quantitative estimates in the homogenization of second-order elliptic systems with periodic coefficients that oscillate on multiple separated scales. We establish large-scale interior and boundary Lipschitz estimates…
We suggest the Doubly Multiplicative Error class of models (DMEM) for modeling and forecasting realized volatility, which combines two components accommodating low-, respectively, high-frequency features in the data. We derive the…
In this note we discuss a paradigmatic example of interacting particles subject to non conservative external forces and to the action of thermostats consisting of external (finite) reservoirs of particles. We then consider a model of…
We test local and semi-local density functionals for the electronic exchange for a variety of systems including atoms, molecules, and atomic chains. In particular, we focus on a recent universal extension of the Becke-Johnson exchange…
We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the (semi)-analytical tractability typical of affine models…
Modern causal inference methods allow machine learning to be used to weaken parametric modeling assumptions. However, the use of machine learning may result in complications for inference. Doubly-robust cross-fit estimators have been…
We propose an adjusted likelihood ratio test of two-factor separability (Kronecker product structure) for unbalanced multivariate repeated measures data. Here we address the particular case where the within subject correlation is believed…
We introduce a novel regression framework which simultaneously models the quantile and the Expected Shortfall (ES) of a response variable given a set of covariates. This regression is based on a strictly consistent loss function for the…
We show that an economic system populated by multiple agents generates an equilibrium distribution in the form of multiple scaling laws of conditional PDFs, which are sufficient for characterizing the probability distribution. The existence…
Many research questions -- particularly those in environmental health -- do not involve binary exposures. In environmental epidemiology, this includes multivariate exposure mixtures with nondiscrete components. Causal inference estimands…
The seminal impossibility result of Myerson and Satterthwaite (1983) states that for bilateral trade, there is no mechanism that is individually rational (IR), incentive compatible (IC), weakly budget balanced, and efficient. This has led…
The entanglement detection via local measurements can be experimentally implemented. Based on mutually unbiased measurements and general symmetric informationally complete positive-operator-valued measures, we present separability criteria…
This paper presents the way in which can be determined the exchange rates that simultaneously balance the trade balances of all countries that trade with each other within a common market. A mathematical synthesis between the theory of…
In this paper a second-order homogenization approach for periodic material is derived from an appropriate representation of the down-scaling that correlates the microdisplacement field to the macro-displacement field and the macro-strain…
Climate response metrics are used to quantify the Earth's climate response to anthropogenic changes of atmospheric CO2. Equilibrium Climate Sensitivity (ECS) is one such metric that measures the equilibrium response to CO2 doubling.…