This paper investigates the use of regularization priors in the context of treatment effect estimation using observational data where the number of control variables is large relative to the number of observations. First, the phenomenon of “regularization-induced confounding” is introduced,...

Hierarchical analysis is considered and a multilevel model is presented in order to explore causality, chance and complexity in financial economics. A coupled system of models is used to describe multilevel interactions, consistent with market data: the lowest level is occupied by agents...

The article examines causal relationships between sovereign credit default swaps (CDS) prices for the BRICS and most important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function (CCF) approach that distinguishes between...