相关论文: A Socioeconomic Well-Being Index
Labor market institutions are central for modern economies, and their polices can directly affect unemployment rates and economic growth. At the individual level, unemployment often has a detrimental impact on people's well-being and…
Recent research has documented a significant rise in the volatility (e.g., expected squared change) of individual incomes in the U.S. since the 1970s. Existing measures of this trend abstract from individual heterogeneity, effectively…
Predicting the S&P 500 index volatility is crucial for investors and financial analysts as it helps assess market risk and make informed investment decisions. Volatility represents the level of uncertainty or risk related to the size of…
Motivated by the current fears of a potentially stagflationary global economic environment, this paper uses new and recently introduced mathematical techniques to study multivariate time series pertaining to country inflation (CPI),…
To find a trade-off between profitability and prudence, financial practitioners need to choose appropriate risk measures. Two key points are: Firstly, investors' risk attitudes under uncertainty conditions should be an important reference…
There is a large literature on earnings and income volatility in labor economics, household finance, and macroeconomics. One strand of that literature has studied whether individual earnings volatility has risen or fallen in the U.S. over…
The goal of this paper is to estimate some parameters of simple social harmonic oscillations modelling U.S. Presidential Approval and Macropartisanship. The harmonic oscillations are simplest solutions of equations of the deterministic…
Work-related musculoskeletal disorders (WMSDs) remain one of the major occupational safety and health problems in the European Union nowadays. Thus, continuous tracking of workers' exposure to the factors that may contribute to their…
This research develops a model-based LAtent Causal Socioeconomic Health (LACSH) index at the national level. Motivated by the need for a holistic national well-being index, we build upon the latent health factor index (LHFI) approach that…
Motivated by applications such as college admission and insurance rate determination, we propose an evaluation problem where the inputs are controlled by strategic individuals who can modify their features at a cost. A learner can only…
To understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies, we define an algorithm for measuring sentiment-based network risk. The algorithm ranks companies…
We propose a random walk model of asset returns where the parameters depend on market stress. Stress is measured by, e.g., the value of an implied volatility index. We show that model parameters including standard deviations and…
Assessment of risk levels for existing credit accounts is important to the implementation of bank policies and offering financial products. This paper uses cluster analysis of behaviour of credit card accounts to help assess credit risk…
Strong empirical evidence from laboratory experiments, and more recently from population surveys, shows that individuals, when evaluating their situations, pay attention to whether they experience gains or losses, with losses weighing more…
This study presents empirical evidence to support the validity of new definitions in financial markets. The author develops a new method to determine investors' risk attitudes in financial markets. The risk attitudes of investors in US…
Real estate prices have a significant impact on individuals, families, businesses, and governments. The general objective of real estate price prediction is to identify and exploit socioeconomic patterns arising from real estate…
A spring-block chain placed on a running conveyor belt is considered for modeling stylized facts observed in the dynamics of stock indexes. Individual stocks are modeled by the blocks, while the stock-stock correlations are introduced via…
We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root…
Monitoring downside risk and upside risk to the key macroeconomic indicators is critical for effective policymaking aimed at maintaining economic stability. In this paper I propose a parametric framework for modelling and forecasting…
We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…