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Simulating the industrial revolution: a history-friendly model
In this paper, we present a first modelization of Allen’s argument on the British industrial revolution with a history-friendly model heuristic. To...
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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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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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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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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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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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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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Speeding up estimation of spatially varying coefficients models
Spatially varying coefficient models, such as GWR (Brunsdon et al. in Geogr Anal 28:281–298, 1996 and McMillen in J Urban Econ 40:100–124, 1996),...
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Conformism, distinction and heterogeneity in an agent-based model of fads
We examine the dependence of the cyclical fluctuations of demand on specific behavioral attitudes of heterogeneous agents. Starting from a modified...
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Decentralized Storage Cryptocurrencies: An Innovative Network-Based Model for Identifying Effective Entities and Forecasting Future Price Trends
Cryptocurrencies, recognized for their transformative impact on both emerging economies and the global financial landscape, are increasingly integral...
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LightGBM-BES-BiLSTM Carbon Price Prediction Based on Environmental Impact Factors
A carbon trading price fusion prediction model is proposed to capture the non-linear, non-stationary, multi-frequency, and other irregular...
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Impacts of public disclosure on tax compliance using agent-based modeling
This study examines the impact of public disclosure of tax information on tax compliance using simulation experiments utilizing agent-based modeling....
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Business Strategy, Short-Term Debt, and Cost Stickiness
This research delves into the dynamics that underlie the relationship between changes in a company's sales and its cost structure. It also explores...
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Dynamic Interlinkages between the Twitter Uncertainty Index and the Green Bond Market: Evidence from the Covid-19 Pandemic and the Russian-Ukrainian Conflict
This study examines the time-varying connectedness between green bonds, Twitter-based uncertainty indices, and the S&P 500 Composite Index. We...
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Robust Picture Fuzzy Regression Functions Approach Based on M-Estimators for the Forecasting Problem
A picture fuzzy regression function approach is a fuzzy inference system method that uses as input the lagged variables of a time series and the...
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Optimal Portfolios for Large Investors in Housing Markets Under Stress Scenarios: A Worst-Case Approach
The study focuses on constructing a mathematical housing market threatened by a major catastrophic event or crash. It incorporates the worst-case...
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The new industrial revolution: the optimal choice for flexible work companies
The mandatory shift to remote work during the COVID-19 pandemic has made employers and employees increasingly aware of the productivity benefits that...
