The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...

The focus of this paper is on starting a critical discussion on the state of econometrics. The problem of information recovery in economics is discussed, and information theoretic methods are suggested as an estimation and inference framework for analyzing questions of a causal nature and...

This paper approaches the problem of an econometric evaluation of dynamic programme sequences from an potential outcome perspective. The identifying power of several different assumptions about the connection between the dynamic selection process and the potential outcomes of different programme...

Wine lovers have long known that the quality of their favorite libation is variable: it depends on, among other things, the geography and geology of the vineyard, the type of grape and how it is grown and harvested, and the weather in the year of its harvest. This variation in quality is...

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and...

Nowadays, volatility of crude oil price is one of the important developments which are followed by experts with care. Recently increasing of crude oil price is very important for Turkey which 40% of energy consumption consists of oil and 90% of this amount is imported. The aim of the study is...

This paper presents a novel self-report approach to identify a general causal model with an unobserved covariate, which can be unobserved heterogeneity or an unobserved choice variable. It shows that a carefully designed noninvasive survey procedure can provide enough information to identify the...