2026 March - 16 articles
This paper examines how assets from emerging and developed stock markets can be efficiently allocated during periods of financial crisis by integrating traditional portfolio theory with Extreme Value Theory (EVT), using the Generalized Pareto Distrib...
This study empirically investigates a central tension in quantitative finance: the divergence between theoretically optimal and robust portfolio construction under real-world estimation uncertainty. Using a dynamic, time-varying optimization framewor...
The well-known Heath–Jarrow–Morton (HJM) framework provides a universal and efficacious instrument for modeling the stochastic evolution of an entire yield curve by explaining the interest rate dynamics in continuous time under no-arbitra...
This paper analyzes factors affecting school absenteeism due to an injury or illness among the US school student population between 6 and 15 years of age. The number of missed school days displays overdispersion and is modeled using the Finite Mixtur...
Subspace algorithms like canonical variate analysis (CVA) are regression-based methods for the estimation of linear dynamic state space models. They have been shown to deliver accurate (consistent and asymptotically equivalent to quasi-maximum likeli...
Exchange rate forecasting is an important issue in financial market analysis. Currency rates form a dynamic network of connections that can be efficiently modeled using graph neural networks (GNNs). The key mechanism of GNNs is the message passing be...
Binary choice models are widely used in econometric modeling when the dependent variable corresponds to discrete outcomes. With appropriate decision rules, these models provide predictions of binary choices generated from predicted probabilities. The...
This study examines the evolution, heterogeneity, and short-term prospects of export performance in seven Central and Eastern European (CEE) economies—Croatia, Czech Republic, Hungary, Poland, Romania, Bulgaria, and Slovakia—over the peri...
Probability distributions, which are typically used to describe income distributions, are not suitable to describe a population’s distribution of wealth because of the existence of negative observations and a large concentration of values close...
Social security systems constitute a structurally significant component of public finance in developing economies and often generate persistent fiscal pressures through budgetary transfers. Demographic transformation, widespread informality in labor...
The delisting of Binance USD (BUSD) constitutes a major regulatory intervention in the stablecoin market and provides a unique opportunity to examine how targeted regulation affects liquidity allocation, market concentration, and short-run systemic r...
We examine geographic spillovers in digital credit markets by studying how natural disasters affect borrowing behavior in adjacent, physically undamaged regions. Using granular loan-level data from Indonesia’s largest FinTech lender (2021&ndash...
The references of most of the observations that econometricians have are ill defined. To use such data in an empirical analysis, the econometrician in charge must find a way to give them economic meaning. In this paper, I have data and an econometric...
Selecting the relevant covariates in high-dimensional panel data remains a central challenge in applied econometrics. Conventional fixed effects and random effects models are not designed for systematic variable selection under model uncertainty. In...
This study enhances macroeconometric modelling by utilising an I(2) cointegration framework to analyse the dynamic link between tourism prices and inflation in Slovenia and the Eurozone. Using monthly data from 2000 to 2017, we estimate cointegrated...
This study examines the impact of international trade shocks from South Africa and recent U.S. federal tax reforms on state-level municipal bond returns within the United States. Employing a unique transaction-level dataset comprising more than 50 mi...
