Related papers: Can one hear the shape of a target zone?
The money supply is endogenous if the monetary policy strategy is the so called Inflation and Interest Rate Targeting, IRT. With that and perfect credibility, the theory of the price level and inflation only needs the Fisher equation, but…
This paper presents a novel semiparametric method to study the effects of extreme events on binary outcomes and subsequently forecast future outcomes. Our approach, based on Bayes' theorem and regularly varying (RV) functions, facilitates a…
The desired shifts of the boundaries of spectral allowed zones of periodical systems are demonstrated. In particular, the phenomenon of merging neighbor allowed zones is exhibited and its simple explanation is given. It is also shown how to…
Flexible spatial models that allow transitions between tail dependence classes have recently appeared in the literature. However, inference for these models is computationally prohibitive, even in moderate dimensions, due to the necessity…
There is accumulating evidence in the literature that stability of learning algorithms is a key characteristic that permits a learning algorithm to generalize. Despite various insightful results in this direction, there seems to be an…
Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based on an asymptotic analysis of relevant…
This study investigates that a characteristic time scale on an exchange rate market (USD/JPY) is examined for the period of 1998 to 2000. Calculating power spectrum densities for the number of tick quotes per minute and averaging them over…
Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One…
Huygens principle violation in a spacetime of odd dimensions leads to the fact that the retarded massless fields of localised sources depend on their history of motion preceding the retarded time. This non-local character of retarded fields…
An achievable rate region for the Gaussian interference channel is derived using Sato's modified frequency division multiplexing idea and a special case of Han and Kobayashi's rate region (denoted by $\Gmat^\prime$). We show that the new…
Statistical inference for time series such as curve estimation for time-varying models or testing for existence of change-point have garnered significant attention. However, these works are generally restricted to the assumption of…
We study the role and drivers of persistence in the extensive margin of bilateral trade. Motivated by a stylized heterogeneous firms model of international trade with market entry costs, we consider dynamic three-way fixed effects binary…
A defining feature of non-stationary systems is the time dependence of their statistical parameters. Measured time series may exhibit Gaussian statistics on short time horizons, due to the central limit theorem. The sample statistics for…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
Financial networks based on Pearson correlations have been intensively studied. However, previous studies may have led to misleading and catastrophic results because of several critical shortcomings of the Pearson correlation. The local…
A geometric representation for multivariate extremes, based on the shapes of scaled sample clouds in light-tailed margins and their so-called limit sets, has recently been shown to connect several existing extremal dependence concepts.…
Mitigating the risk arising from extreme events is a fundamental goal with many applications, such as the modelling of natural disasters, financial crashes, epidemics, and many others. To manage this risk, a vital step is to be able to…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
We consider the distribution of the turning point location of time series modeled as the sum of deterministic trend plus random noise. If the variables are modeled by shifted exponentials, whose location parameters define the trend, we…
For quantitative trading risk management purposes, we present a novel idea: the realized local volatility surface. Concisely, it stands for the conditional expected volatility when sudden market behaviors of the underlying occur. One is…