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This PhD Thesis presents an investigation into the analysis of financial returns using mixture models, focusing on mixtures of generalized normal distributions (MGND) and their extensions. The study addresses several critical issues…
We review the fuzzy approach to poverty measurement by comparing poverty indices using different membership functions proposed in the literature. We put our main focus on the issue of estimation of the mean squared errors of these fuzzy…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
We propose an observation-driven modeling framework that allows model parameters to vary over time through an implicit score-driven (ISD) update. The ISD update maximizes the logarithmic observation density with respect to the parameter…
In a series of precedent papers, we have presented a comprehensive methodology, termed Field Economics, for translating a standard economic model into a statistical field-formalism framework. This formalism requires a large number of…
Using a panel payment system dataset of thirty-three provinces in Indonesia, we examine the impact of digital payment on the regional economy, considering structural breaks induced by unprecedented events and policies. Digital payments were…
The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly…
Mainly through regression discontinuity designs, Khanna (2023a) studies the impacts of a primary schooling expansion in India in the 1990s. Absent from the data set are four districts close to the modeled treatment discontinuity.…
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges…
We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…
The control and managing of power demand and supply become very crucial because of penetration of renewables in the electricity networks and energy demand increase in residential and commercial sectors. In this paper, a new approach is…
In contrast to the rapid digitalization of several industries, agriculture suffers from low adoption of smart farming tools. While AI-driven digital agriculture tools can offer high-performing predictive functionalities, they lack tangible…
Financial markets are integral to a country's economic success, yet their complex nature raises challenging issues for predicting their behaviors. There is a growing demand for an integrated system that explores the vast and diverse data in…
A negative basis trade enters a long bond position and buys protection on the issuer of the bond through credit default swap (CDS), aiming at arbitrage profit due to the bond-CDS basis. To classic reduced form model theorists, the existence…
We investigate the sources of variability in agricultural production and their relative importance in the context of weather index insurance for smallholder farmers in India. Using parcel-level panel data, multilevel modeling, and Bayesian…
The effectiveness of farmer loan policies is crucial for the high-quality development of agriculture and the orderly advancement of the rural revitalization strategy. Exploring the impact of farmers' borrowing behavior on agricultural…
New generation electricity network called Smart Grid is a recently conceived vision for a cleaner, more efficient and cheaper electricity system. One of the major challenges of electricity network is that generation and consumption should…
This study investigates the dynamic relationship between development finance institutions (DFIs), foreign direct investment (FDI), and economic development in Sub-Saharan Africa (SSA) from 1990 to 2018, using a quantitative panel dataset of…
The performance in higher secondary school education in India is a turning point in the academic lives of all students. As this academic performance is influenced by many factors, it is essential to develop predictive data mining model for…
This study investigates the impact of increased debt servicing costs on household consumption resulting from monetary policy tightening. It utilizes observational panel microdata on all mortgage holders in Israel and leverages…