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Accurate short-term forecasting of public transport demand is essential for the operation of on-demand public transport. Knowing where and when future demands for travel are expected allows operators to adjust timetables quickly, which helps improve service quality and reliability and attract...
Persistent link: https://www.econbiz.de/10014285701
In the euro area, monetary policy is conducted by a single central bank for 20 member countries. However, countries are heterogeneous in their economic development, including their inflation rates. This paper combines a New Keynesian model and a neural network to assess whether the European...
Persistent link: https://www.econbiz.de/10014305045
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10014332691
This paper studies how household inequality shapes the effects of the zero lower bound (ZLB) on nominal interest rates on aggregate dynamics. To do so, we consider a heterogeneous agent New Keynesian (HANK) model with an occasionally binding ZLB and solve for its fully nonlinear stochastic...
Persistent link: https://www.econbiz.de/10014377446
Technological change co‐determines agri‐environmental performance and farm structural transformation. Meaningful impact assessment of related policies can be derived from farm‐level models that are rich in technology details and environmental indicators, integrated with agent‐based...
Persistent link: https://www.econbiz.de/10014469431
We propose how deep neural networks can be used to calibrate the parameters of Stochastic-Volatility Jump-Diffusion (SVJD) models to historical asset return time series. 1-Dimensional Convolutional Neural Networks (1D-CNN) are used for that purpose. The accuracy of the deep learning approach is...
Persistent link: https://www.econbiz.de/10014494935
We propose a novel approach to calibrate the conditional value-at-risk (CoVaR) of financial institutions based on neural network quantile regression. Building on the estimation results, we model systemic risk spillover effects in a network context across banks by considering the marginal effects...
Persistent link: https://www.econbiz.de/10014497542
Motivated by the recent literature that finds that artificial neural networks (NN) can efficiently predict economic time‐series in general and inflation in particular, we investigate if the forecasting performance can be improved even further by using a particular kind of NN—a recurrent...
Persistent link: https://www.econbiz.de/10014503715
We analyze machine learning algorithms for stock selection. Our study builds on weekly data for the historical constituents of the S&P500 over the period from January 1999 to March 2021 and builds on typical equity factors, additional firm fundamentals, and technical indicators. A variety of...
Persistent link: https://www.econbiz.de/10014504418
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011709545