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The Cowles Commission and Foundation for Research in Economics : Bringing Mathematical Economics and Econometrics from the Fringes of Economics to the Mainstream
Dimand, Robert W. - 2019
Debreu on general equilibrium, Yntema and Mosak on general equilibrium in international trade theory, Arrow on social choice …, Koopmans on activity analysis, Klein on macroeconometric modelling, Lange, Marschak and Patinkin on macroeconomic theory, and … areas of economics, notably with Tobin's “Yale school” of monetary theory, Scarf's computable general equilibrium, Shubik in …
Persistent link: https://www.econbiz.de/10012863112
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Augmented AI-Knowledge Driven Intelligent Systems for Adversarial-Dynamic Uncertainty and Complexity
Malhotra, Yogesh - 2023
Goal: ISO 31000 Risk Management (RM) recently re-defined risk as the effect of uncertainty on an organization's ability to meet the objectives. Earlier, it defined risk as a combination of the probability and scope of the (predicted) consequences. The revised ISO Risk advances beyond a static...
Persistent link: https://www.econbiz.de/10014256748
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Interpolation and shock persistence of prewar U.S. macroeconomic time series : a reconsideration
Dezhbakhsh, Hashem; Levy, Daniel C. - 2022 - Last revision: February 9, 2022
The U.S. prewar output series exhibit smaller shock-persistence than postwar-series. Some studies suggest this may be due to linear interpolation used to generate missing prewar data. Monte Carlo simulations that support this view generate large standard-errors, making such inference imprecise....
Persistent link: https://www.econbiz.de/10013175448
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COPOD : Copula-Based Outlier Detection
Li, Zheng; Zhao, Yue; Botta, Nicola; Ionescu, Cezar; … - 2021
Outlier detection refers to the identification of rare items that are deviant from the general data distribution. Existing approaches suffer from high computational complexity, low predictive capability, and limited interpretability. As a remedy, we present a novel outlier detection algorithm...
Persistent link: https://www.econbiz.de/10013242963
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Interpolation and Shock Persistence of Prewar U.S. Macroeconomic Time Series : A Reconsideration
Dezhbakhsh, Hashem; Levy, Daniel - 2022
The U.S. prewar output series exhibit smaller shock-persistence than postwar-series. Some studies suggest that this may be due to linear interpolation used to generate missing prewar data. Monte Carlo simulations that support this view generate large standard-errors, making such inference...
Persistent link: https://www.econbiz.de/10013294244
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A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series
Webel, Karsten - 2022
Infra-monthly time series have increasingly appeared on the radar of official statistics in recent years, mostly as a consequence of a general digital transformation process and the outbreak of the COVID-19 pandemic in 2020. Many of those series are seasonal and thus in need for seasonal...
Persistent link: https://www.econbiz.de/10013336397
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Towards seasonal adjustment of infra-monthly time series with JDemetra+
Webel, Karsten; Smyk, Anna - 2023
Infra-monthly economic time series have become increasingly popular in official statistics in recent years. This evolution has been largely fostered by official statistics’ digital transformation during the last decade. The COVID-19 pandemic outbreak in 2020 has added fuel to the fire as many...
Persistent link: https://www.econbiz.de/10014336194
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Identifying structural changes in the exchange rates of South Africa as a regime-switching process
Makatjane, Katleho; Van Wyk, Roscoe Bertrum - 2020
Exchange rate volatility is said to exemplify the economic health of a country. Exchange rate break points (known as structural breaks) have a momentous impact on the macroeconomy of a country. Nonetheless, this country study makes use of both unsupervised and supervised machine learning...
Persistent link: https://www.econbiz.de/10012320963
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Volatility in Financial Time Series
Richter, Mark - 2015
This paper deals with some technical fundamentals necessary to understand, at least heuristically, stochastic volatility processes and associated measures. I present the stylised facts of a financial dataset in order to explore its fundamental statistical properties, which are then used to...
Persistent link: https://www.econbiz.de/10013012793
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Oracle Inequalities for High Dimensional Vector Autoregressions
Kock, Anders Bredahl - 2012
Abstract. This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive models. These inequalities are used to establish consistency of the LASSO even when the number of parameters is of a much larger...
Persistent link: https://www.econbiz.de/10013105725