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Dynamic Market Behavior and Price Prediction in Cryptocurrency: An Analysis Based on Asymmetric Herding Effects and LSTM
This study employs the cross-sectional absolute deviation model and Carhart pricing model to examine the existence and authenticity of various market...
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Is Default Risk Contagious? Evidence from Global Energy Leaders and Environmentally Conscious Energy Firms
We examine the default risk spillover for two groups of global energy firms, including top energy firms from seven different sectors as well as...
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Research of Dempster-Shafer’s Theory and Ensemble Classifier Financial Risk Early Warning Model Based on Benford’s Law
Previous research endeavors aimed at enhancing the predictive accuracy of early warning systems for enterprise financial risks have primarily focused...
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Comparing the Mixed Logit Estimates and True Parameters under Informative and Uninformative Heterogeneity: A Simulated Discrete Choice Experiment
In discrete choice experiments (DCEs), differences between respondents’ preferences may be associated with observable or unobservable factors....
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The life care annuity: enhancing product features and refining pricing methods
The state-of-the-art proposes life care annuities, that have been recently designed as variable annuity contracts with Long-Term Care payouts and...
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Calling “Gevald”: on the emergence of negative election forecasts in partisan communications
Individuals were found to anonymously predict positive election outcomes for their preferred candidate. Yet, there is little scientific knowledge...
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Blame and praise: responsibility attribution patterns in decision chains
How do people attribute responsibility when an outcome is not caused by an individual but results from a decision chain involving several people? We...
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Persistence or decay of strategic asymmetric dominance in repeated dyadic games?
In a dyadic game, strategic asymmetric dominance occurs when a player’s preference for one strategy A relative to another B is systematically...
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Systemic Financial Risk of Stock Market Based on Multiscale Networks
This paper investigates the connectedness among 36 financial institutions in China from time–frequency perspective. Specifically, using MEMD and...
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Bias Correction in the Least-Squares Monte Carlo Algorithm
This paper addresses the issue of foresight bias in the Longstaff and Schwartz (Rev Financ Stud 14(1):113–147, 2001) algorithm for American option...
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Comparison of the Performance of Structural Break Tests in Stationary and Nonstationary Series: A New Bootstrap Algorithm
Structural breaks are considered as permanent changes in the series mainly because of shocks, policy changes, and global crises. Hence, making...
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Modelling Mixed-Frequency Time Series with Structural Change
Predictive ability of time series models is easily compromised in the presence of structural breaks, common among financial and economic variables...
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Enhancing Stock Market Prediction Using Gradient Boosting Neural Network: A Hybrid Approach
This paper introduces an innovative paradigm in cryptocurrency market analysis and prediction by exploiting the potency of the gradient boosting...
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A Generalized Hyperbolic Distance Function for Benchmarking Performance: Estimation and Inference
This paper describes a new multiplicative, generalized hyperbolic distance function (GHDF) that allows the researcher to measure technical efficiency...
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Extracting Stock Predictive Information in Mutual Fund Managers’ Portfolio Decisions Through Machine Learning with Hypergraph
This paper proposes a machine learning framework that incorporates mutual fund managers’ portfolio decisions to predict stock price movements. It...
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One bad apple spoils the barrel? Public good provision under threshold uncertainty
We report laboratory evidence on the voluntary provision of threshold public goods when the exact location of the threshold is not known. Our...
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The Shapley value in positional queueing problems
A group of agents are waiting to be served in a facility. Each server in the facility can serve only one agent at a time and agents differ in their...
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An Alternative Approach for Determining the Time-Varying Decay Parameter of the Nelson-Siegel Model
This paper presents an alternative and straightforward two-step estimation method for the Nelson–Siegel yield curve model. The goal is to generate...
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Building an Annual Retrospective for French Labor Market (1959–1975) As a Complement of the INSEE’s Time Series (1975–2021)
This paper presents the steps of the building of PAC (Active available population), PEMP (Population in employment) and TCHO (Unemployment rate) time...
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Approximations and inference for envelopment estimators of production frontiers
Nonparametric methods have been commonly used to assess the performance of both private and public organizations. Among them, the most popular ones...