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Service Data Analytics and Business Intelligence

Wu, Desheng Dang; Härdle, Wolfgang Karl - 2020

With growing economic globalization, the modern service sector is in great need of business intelligence for data analytics and computational statistics. The joint application of big data analytics, computational statistics and business intelligence has great potential to make the engineering of...

Persistent link: https://www.econbiz.de/10012433246

Targeting Cutsomers Under Response-Dependent Costs

Haupt, Johannes; Lessmann, Stefan - 2020

This study provides a formal analysis of the customer targeting decision problem in settings where the cost for marketing action is stochastic and proposes a framework to efficiently estimate the decision variables for campaign profit optimization. Targeting a customer is profitable if the...

Persistent link: https://www.econbiz.de/10012433249

Deep Learning application for fraud detection in financial statements

Craja, Patricia; Kim, Alisa; Lessmann, Stefan - 2020

Financial statement fraud is an area of significant consternation for potential investors, auditing companies, and state regulators. Intelligent systems facilitate detecting financial statement fraud and assist the decision-making of relevant stakeholders. Previous research detected instances in...

Persistent link: https://www.econbiz.de/10012433251

Kernel Estimation: the Equivalent Spline Smoothing Method

Härdle, Wolfgang Karl; Nussbaum, Michael - 2020

Among nonparametric smoothers, there is a well-known correspondence between kernel and Fourier series methods, pivoted by the Fourier transform of the kernel. This suggests a similar relationship between kernel and spline estimators. A known special case is the result of Silverman (1984) on the...

Persistent link: https://www.econbiz.de/10012433254

The Effect of Control Measures on COVID-19 Transmission and Work Resumption: International Evidence

Meng, Lina; Zhou, Yinggang; Zhang, Ruige; Ye, Zhen; … - 2020

Many countries have taken non-pharmaceutical interventions (NPIs) to contain the spread of the coronavirus (COVID-19) and push the recovery of national economies. This paper investigates the effect of these control measures by comparing five selected countries, China, Italy, Germany, the United...

Persistent link: https://www.econbiz.de/10012433255

On Cointegration and Cryptocurrency Dynamics

Keilbar, Georg; Zhang, Yanfen - 2020

This paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM) framework. To enable analysis in a dynamic setting, we...

Persistent link: https://www.econbiz.de/10012433256

Tail-risk protection: Machine Learning meets modern Econometrics

Spilak, Bruno; Härdle, Wolfgang Karl - 2020

Tail risk protection is in the focus of the financial industry and requires solid mathematical and statistical tools, especially when a trading strategy is derived. Recent hype driven by machine learning (ML) mechanisms has raised the necessity to display and understand the functionality of ML...

Persistent link: https://www.econbiz.de/10012433259

A supreme test for periodic explosive GARCH

Richter, Stefan; Wang, Weining; Wu, Wei Biao - 2020

We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH(r, s) (generalized autoregressive conditional heteroskedasticity) process. Namely, we test the null hypothesis of a globally stable GARCH process with constant parameters against an alternative...

Persistent link: https://www.econbiz.de/10012433262

Inference of breakpoints in high-dimensional time series

Chen, Likai; Wang, Weining; Wu, Wei Biao - 2020

For multiple change-points detection of high-dimensional time series, we provide asymptotic theory concerning the … consistency and the asymptotic distribution of the breakpoint statistics and estimated break sizes. The theory backs up a simple … approximation theorem to dependent data with jumps, the theory allows us to characterize the size and power of our multiple change …

Persistent link: https://www.econbiz.de/10012433263

Improved Estimation of Dynamic Models of Conditional Means and Variances

Wang, Weining; Wooldridge, Jeffrey M.; Xu, Mengshan - 2020

Modelling dynamic conditional heteroscedasticity is the daily routine in time series econometrics. We propose a weighted conditional moment estimation to potentially improve the eciency of the QMLE (quasi maximum likelihood estimation). The weights of conditional moments are selected based on...

Persistent link: https://www.econbiz.de/10012433265