Related papers: Can one hear the shape of a target zone?
The electron-cyclotron maser instability is widespread in the Universe, producing, e.g., radio emission of the magnetized planets and cool substellar objects. Diagnosing the parameters of astrophysical radio sources requires comprehensive…
An asymptotic model for extreme behavior of certain Markov chains is the "tail chain". Generally taking the form of a multiplicative random walk, it is useful in deriving extremal characteristics such as point process limits. We place this…
Many economic models feature moment conditions that involve latent variables. When the latent variables are individual fixed effects in an auxiliary panel data regression, we construct orthogonal moments that eliminate first-order bias…
We consider here the resource budget model of plant energy resources, which characterizes the ecological alternate bearing phenomenon in fruit crops, in which high and low yields occur in alternate years. The resource budget model is a…
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
The observable outputs of many complex dynamical systems consist in time series exhibiting autocorrelation functions of great diversity of behaviors, including long-range power-law autocorrelation functions, as a signature of interactions…
We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns. Our model captures well both the time-varying characteristic and the asymmetrical heavy-tail property of financial time…
We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage…
The goal of this work is to analyze a model for the rate-independent evolution of sets with finite perimeter. The evolution of the admissible sets is driven by that of a given time-dependent set, which has to include the admissible sets and…
Weighted empirical risk minimization is a common approach to prediction under distribution drift. This article studies its out-of-sample prediction error under nonstationarity. We provide a general decomposition of the excess risk into a…
The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…
The reachability problem for timed automata asks if there exists a path from an initial state to a target state. The standard solution to this problem involves computing the zone graph of the automaton, which in principle could be infinite.…
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…
The problem of regression extrapolation, or out-of-distribution generalization, arises when predictions are required at test points outside the range of the training data. In such cases, the non-parametric guarantees for regression methods…
Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile…
This paper considers fixed effects estimation and inference in linear and nonlinear panel data models with random coefficients and endogenous regressors. The quantities of interest -- means, variances, and other moments of the random…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
Extreme events and the heavy tail distributions driven by them are ubiquitous in various scientific, engineering and financial research. They are typically associated with stochastic instability caused by hidden unresolved processes.…
Modelling the propagation of a pulse in a dense {\em milieu} poses fundamental challenges at the theoretical and applied levels. To this aim, in this paper we generalize the telegraph equation to non-ideal conditions by extending the…