Dynamic Quantile Function Models. (arXiv:1707.02587v1 [stat.ME])
We offer a novel way of thinking about the modelling of the time-varying distributions of financial asset returns. Borrowing ideas from symbolic data analysis, we consider data representations beyond...
View ArticleConsistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull...
Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their...
View ArticleThe LIVING Supply Chain: The Evolving Imperative of Operating in Real Time
Creates a managerial compass for entering into the LIVING (Live, Intelligent, Velocity, Interactive, Networked, and Good) era of supply chain management and defines the imperative for creating Velocity...
View ArticleViability and Arbitrage under Knightian Uncertainty. (arXiv:1707.03335v1...
We reconsider the microeconomic foundations of financial economics under Knightian Uncertainty. In a general framework, we discuss the absence of arbitrage, its relation to economic viability, and the...
View ArticleThe discontinuation of the EUR/CHF minimum exchange rate in January 2015: was...
We derive risk-neutral probability densities for future euro/Swiss franc exchange rates as implied by option prices. We find that the credibility of the Swiss franc floor somewhat decreased as the spot...
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Perceived Versus Real Risk Tolerance
Picture Credit: Denise Krebs || What RFK said is not applicable to investing. Â Safety First! Â Don’t lose money!read more...
View ArticleIt’s not you – solving a Rubik’s cube quickly is officially...
The question of whether a scrambled Rubikâs cube of any size can be solved in a given number of moves is NP-complete https://t.co/G2MMphhhZ4 â moneyscienceâ¦
View ArticleBiased Algorithms Are Everywhere, and No One Seems to Care
"Biased Algorithms Are Everywhere, and No One Seems to Care" https://t.co/AccY2Mb9xx â JC Kommer (@Alea_) July 12, 2017
View ArticleGrooming Future Leaders
Retired Brigadier General Bernard Banks, now teaching at Kellogg, offers some interesting insights on developing future leaders. Banks explains that companies need to begin grooming future leaders...
View ArticleModeling the price of Bitcoin with fractional Brownian motion: a Monte Carlo...
The long-term dependence of Bitcoin (BTC), manifesting itself through a Hurst exponent $H>0.5$, is exploited in order to predict future BTC/USD price. A Monte Carlo simulation with $10^5$ fractional...
View ArticleThe Employment Effects of Minimum Wages: Some Questions We Need to Answer --...
The literature on the employment effects of minimum wages is about a century old, and includes hundreds of studies. Yet the debate among researchers about the employment effects of minimum wages...
View ArticleDeclining Competition and Investment in the U.S. -- by German Gutierrez,...
The U.S. business sector has under-invested relative to Tobin's Q since the early 2000's. We argue that declining competition is partly responsible for this phenomenon. We use a combination of natural...
View ArticleThe Arrival of Fast Internet and Employment in Africa -- by Jonas Hjort,...
To show how fast Internet affects employment in Africa, we exploit the gradual arrival of submarine Internet cables and maps of the terrestrial cable network. Robust difference-in-differences estimates...
View ArticleGeography, Search Frictions and Endogenous Trade Costs -- by Giulia...
We leverage detailed data on vessel movements and shipping contracts to shed new light on world trade costs and trade flows. The data reveal new facts about shipping patterns, and motivate us to build...
View ArticleThe Cyclical Sensitivity in Estimates of Potential Output -- by Olivier...
The fact that most of the persistent declines in output since the Great Recession have parlayed into equivalent declines in measures of potential output is commonly interpreted as implying that output...
View ArticleRisk Preferences in Small and Large Stakes: Evidence from Insurance Contract...
We examine risk preferences using the flood insurance decisions of over 100,000 households. In each contract, households make a small stakes decision, the deductible, and a large stakes one, the...
View ArticleIncome Mobility, Income Risk and Welfare -- by Tom Krebs, Pravin Krishna,...
This paper presents a framework for the quantitative analysis of individual income dynamics, mobility and welfare, with ex-ante identical individuals facing a stochastic income process and market...
View ArticleGeographic Cross-Sectional Fiscal Spending Multipliers: What Have We Learned?...
A geographic cross-sectional fiscal spending multiplier measures the effect of an increase in spending in one region in a monetary union. Empirical studies of such multipliers have proliferated in...
View ArticleIncentives for Replication in Economics -- by Sebastian Galiani, Paul...
Replication is a critical component of scientific credibility as it increases our confidence in the reliability of the knowledge generated by original research. Yet, replication is the exception rather...
View ArticleRisky Business? The Effect of Majoring in Business on Earnings and...
One of the most important decisions a student can make during the course of his or her college career is the choice of major. The field of study a student selects translates directly into the types of...
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