Multi-Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time-Frequency Domains [0.03%]
中国政策不确定性与全球油价在时空频域的风险关联性分析
Sheng Cheng,Wei Liu,Qisheng Jiang et al.
Sheng Cheng et al.
With a sample of monthly data from January 2000 to July 2021, this paper investigates the risk connectedness relationship between different kinds of China's EPU and global oil prices in both time and frequency domains. To achieve that, a re...
David Hudgins,Patrick M Crowley
David Hudgins
This paper derives a macroeconomic resilient control framework that provides the optimal feedback fiscal and monetary policy responses in response to a potentially large negative external incident. We simulate the model for the U.S. under t...
The Slicing Method: Determining Insensitivity Regions of Probability Weighting Functions [0.03%]
切片法确定概率权衡函数的不敏感区域
Martín Egozcue,Luis Fuentes García,Ričardas Zitikis
Martín Egozcue
A popular rule of thumb, usually called "heuristic technique" in Behavioral Economics, for determining the likelihood insensitivity regions of probability weighting functions (pwf's) is based on searching for points at which the pwf's are t...
Extracting Rules via Markov Chains for Cryptocurrencies Returns Forecasting [0.03%]
基于马尔可夫链的加密货币收益预测规则提取方法研究
Kerolly Kedma Felix do Nascimento,Fábio Sandro Dos Santos,Jader Silva Jale et al.
Kerolly Kedma Felix do Nascimento et al.
With the growing popularity of digital currencies known as cryptocurrencies, there is a need to develop models capable of robustly analyzing and predicting the value of future returns in these markets. In this article, we extract behavior r...
COVID 19 Pandemic, Socio-Economic Behaviour and Infection Characteristics: An Inter-Country Predictive Study Using Deep Learning [0.03%]
基于深度学习的新冠疫情下各国行为及疫情预测研究
Srinka Basu,Sugata Sen
Srinka Basu
This work aims to develop a data driven multi-horizon incidence forecasting model considering the inter-country variability in static socio-economic factors. The specific objectives of this study are to predict the future country-wise COVID...
Toan Luu Duc Huynh
Toan Luu Duc Huynh
We present a textual analysis that explains how Elon Musk's sentiments in his Twitter content correlates with price and volatility in the Bitcoin market using the dynamic conditional correlation-generalized autoregressive conditional hetero...
The Influence of Economic Policy Uncertainty and Business Cycles on Fine Wine Prices [0.03%]
经济政策不确定性与商业周期对精品葡萄酒价格的影响分析
Hachmi Ben Ameur,Eric Le Fur,Julien Pillot
Hachmi Ben Ameur
This study investigates the impact of both economic policy uncertainty (EPU) and business cycles on the fine wine market. We use a nonlinear autoregressive distributed lag model to measure the influence of these two variables on three major...
A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model [0.03%]
带尺度变换的双Heston模型的方差掉期定价的显式解
Youngin Yoon,Jeong-Hoon Kim
Youngin Yoon
As is well known, multi-factor stochastic volatility models are necessary to capture the market accurately in pricing financial derivatives. However, the multi-factor models usually require too many parameters to be calibrated efficiently a...
An Algorithm for the Pricing and Timing of the Option to make a Two-Stage Investment with Credit Guarantees [0.03%]
具有信用担保的两阶段投资机会的定价和时机算法
Linjia Dong,Zhaojun Yang
Linjia Dong
We develop a jump-diffusion model for a guarantee-investment combination financing mode (G-I mode) that is recently popular in financial practice. We assume that a borrower has exclusively an option to invest in a project in two stages. The...
Trust and Social Control: Sources of Cooperation, Performance, and Stability in Informal Value Transfer Systems [0.03%]
信任与社会控制：非正式价值传输系统中合作、绩效和稳定性的来源
Claudius Gräbner,Wolfram Elsner,Alex Lascaux
Claudius Gräbner
We study the functioning of informal value transfer systems through the example of Hawala. By complementing the institutional theory with computational experiments that use the first agent-based model of IVTS, we examine the roles of genera...