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econometrics. High dimensional sparse models arise in situations where many regressors (or series terms) are available and the …-dimensional econometrics ; instrumental regression ; partially linear regression ; returns-to-schooling ; growth regression …
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analyze jump processes.Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side …
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I construct an estimable statistic that predicts whether a financial innovation will spread. The approach embeds the multi-host SIR model from epidemiology within a financial model of correlated securities trade; and takes advantage of the related predictive tools from mathematical epidemiology,...
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