Related papers: Multiple Structural Breaks in Interactive Effects …
To draw real-world evidence about the comparative effectiveness of multiple time-varying treatments on patient survival, we develop a joint marginal structural survival model and a novel weighting strategy to account for time-varying…
A dynamical pair breaking effect is evidenced at very low excitation energies. For this purpose, a new set of time-dependent coupled channel equations for pair-breaking in superfluid systems are deduced from the variational principle. These…
There is a fast-growing body of research on predicting future links in dynamic networks, with many new algorithms. Some benchmark data exists, and performance evaluations commonly rely on comparing the scores of observed network events…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
We consider a sparse high-dimensional varying coefficients model with random effects, a flexible linear model allowing covariates and coefficients to have a functional dependence with time. For each individual, we observe discretely sampled…
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…
The paper presents the comparative study of the nature of stock markets in short-term and long-term time scales with and without structural break in the stock data. Structural break point has been identified by applying Zivot and Andrews…
We revisit the longstanding question of how physical structures in urban landscapes influence crime. Leveraging machine learning-based matching techniques to control for demographic composition, we estimate the effects of several types of…
We develop a deep learning model of multi-period mortgage risk and use it to analyze an unprecedented dataset of origination and monthly performance records for over 120 million mortgages originated across the US between 1995 and 2014. Our…
Nonresponse in panel studies can lead to a substantial loss in data quality due to its potential to introduce bias and distort survey estimates. Recent work investigates the usage of machine learning to predict nonresponse in advance, such…
We investigate the consequences of legal rulings on the conduct of monetary policy. Several unconventional monetary policy measures of the European Central Bank have come under scrutiny before national courts and the European Court of…
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…
This article develops a random effects quantile regression model for panel data that allows for increased distributional flexibility, multivariate heterogeneity, and time-invariant covariates in situations where mean regression may be…
Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
We propose a new method for assessing agents' influence in financial network structures, which takes into consideration the intensity of interactions. A distinctive feature of this approach is that it considers not only direct interactions…
The COVID-19 recession that started in March 2020 led to an unprecedented decline in economic activity across the globe. To fight this recession, policy makers in central banks engaged in expansionary monetary policy. This paper asks…
A major impact of globalization has been the information flow across the financial markets rendering them vulnerable to financial contagion. Research has focused on network analysis techniques to understand the extent and nature of such…
The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007-2009. Recently, Beale et al. ("Individual versus systemic risk and the regulator's dilemma", Proc Natl Acad…
Interaction graphs, such as those recording emails between individuals or transactions between institutions, tend to be sparse yet structured, and often grow in an unbounded manner. Such behavior can be well-captured by structured,…