Article
Economics
Mohamed Doukali, Xiaojun Song, Abderrahim Taamouti
Summary: We propose a method for estimating Value-at-Risk that corrects for the effect of measurement errors in stock prices. The method achieves satisfactory performance in both Monte Carlo simulations and real data analysis.
OXFORD BULLETIN OF ECONOMICS AND STATISTICS
(2023)
Article
Economics
Stefan Wintein
Summary: John Broome has developed an influential theory of fairness, generating a debate about its nature. While recent commentators advocate for non-comparative fairness, Curtis' theory is limited. I present a theory that fulfills all expectations.
SOCIAL CHOICE AND WELFARE
(2023)
Article
Economics
Li Liu, Xianfeng Hao, Yudong Wang
Summary: This study develops a new approach for forecast combination that involves shrinking the weights towards equal weights and towards zero weight. The results show that this double shrinkage combination (DSC) approach is able to significantly predict excess returns to the S&P500 index. The DSC outperforms the naive equal-weighted combination and is found to have greater impact during economic recessions.
OXFORD BULLETIN OF ECONOMICS AND STATISTICS
(2023)
Article
Social Sciences, Mathematical Methods
Betul Erkantarci, Gokhan Bakal
Summary: Text classification and sentiment analysis are among the most studied topics in text mining research. Social media platforms have become central opinion-sharing mediums, and sentiment analysis of user reviews and feedback is crucial for products or services.
JOURNAL OF COMPUTATIONAL SOCIAL SCIENCE
(2023)
Article
Public, Environmental & Occupational Health
Beatrice Sambo, Marcello Sano, Anna Sperotto, Marco Zanetti, Silvia Torresan, James H. Lambert, Igor Linkov, Andrea Critto
Summary: This study develops a participatory method to identify and prioritize a set of risk measures for increasing climate resilience. The results demonstrate that sensitivity analysis provides valuable information on how different sectors of expertise can influence the ranking of risk management measures.
Article
Mathematics, Interdisciplinary Applications
Chiara Mizzi, Alex Baroncini, Alessandro Fabbri, Davide Micheli, Aldo Vannelli, Carmen Criminisi, Susanna Jean, Armando Bazzani
Summary: This study uses GPS data and statistical physics methods to examine the statistical properties of urban mobility. By employing a clustering algorithm, different mobility types are detected, and the power law distributions for path lengths and travel times are explained as an overlapping of exponential distributions, revealing the multilayer structure of the road network.
Review
Public, Environmental & Occupational Health
Sara Perlstein
Summary: This systematic literature review investigates the impact of interpersonal discussion on risk perception and summarizes existing research, finding a positive association between the two variables. However, the direction of causality in this association still requires further examination and clarification.
Article
Economics
Malte Jahn
Summary: This paper demonstrates how INGARCH models can be combined with artificial neural network response functions to create a class of nonlinear INGARCH models. The empirical analysis suggests that neural INGARCH models outperform degenerate competitor models in terms of information loss.
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
(2023)
Article
Economics
Ze Chen, Bingzheng Chen, Yu Mao
Summary: This study analyzes the impact of vaccine injuries, particularly the economic importance of vaccine injury compensation insurance (VICI) programs. The findings show that the risk of being injured lowers individuals' incentives to be vaccinated, but the introduction of VICI alleviates decision-makers' concern and encourages vaccination.
OXFORD BULLETIN OF ECONOMICS AND STATISTICS
(2023)
Article
Mathematics, Interdisciplinary Applications
Yanyao Yi, Ying Zhang, Yu Du, Ting Ye
Summary: This article presents a sensitivity analysis approach for quantifying unmeasured bias in studies using external controls. It also proposes a combined testing procedure that performs analysis with and without external controls to improve treatment power.
JOURNAL OF CAUSAL INFERENCE
(2023)
Article
Economics
Komal Malik, Kolagani Paramahamsa
Summary: This study examines the optimal mechanism for a seller to sell divisible complementary goods to an agent. The findings suggest that the optimal mechanism can be a ratio-dependent posted price or a posted price mechanism for a specific distribution when the agent consumes the goods in a specific ratio and freely disposes of excess goods.
INTERNATIONAL JOURNAL OF GAME THEORY
(2023)
Article
Economics
Antoine A. Djogbenou
Summary: This paper proposes an identification strategy for international oil price shocks, taking into account the heterogeneous sources of oil demand from global, developed, and emerging economies. The study shows the importance of identifying these shocks based on global and specific latent factors in quantifying their impacts on factors such as crude oil production and real oil price.
JOURNAL OF APPLIED ECONOMETRICS
(2023)
Article
Business, Finance
Yi-Ran Wang, Chaoqun Ma, Yi-Shuai Ren, Seema Narayan
Summary: Although there is limited research on using blockchain in carbon emission trading schemes, this study addresses the gap by creating and simulating an ETS system based on blockchain technology. The results show that using blockchain can optimize data availability while maintaining privacy security, and implementing smart contracts can provide swift and automatic settlement. The simulation also demonstrates that blockchain can enhance information interaction and increase annual compliance levels.
FINANCIAL INNOVATION
(2023)
Article
Economics
Santiago Acerenza
Summary: This paper provides partial identification results for the marginal treatment effect (MTE) when the binary treatment variable is potentially misreported and the instrumental variable is discrete. Bounds for both the case of misreported treatment and the case of no misreported treatment are derived. The identification results are illustrated by identifying the marginal treatment effects of food stamps on health.
OXFORD BULLETIN OF ECONOMICS AND STATISTICS
(2023)
Article
Economics
Claudio Deiana, Ludovica Giua, Roberto Nistico
Summary: This study examines the impact of international opium price shocks on the per capita dispensation of prescription opioids in the USA. The results show that reductions in opium prices lead to a significant increase in the quantity of opioids prescribed, especially in counties with a higher demand for pain relief. This effect is mainly observed for natural and semi-synthetic opioids and is moderated by the amount of raw material contained in the products. Additionally, negative opium price shocks result in higher advertising expenses, stock prices, and profits for opioid producers, indicating the important role of supply-side economic incentives.
OXFORD BULLETIN OF ECONOMICS AND STATISTICS
(2023)
Article
Mathematics, Interdisciplinary Applications
Guohui Guan, Zongxia Liang, Yi Xia
Summary: This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The optimal wealth process, optimal portfolio and efficient frontier are obtained under four cases. The probabilities that the optimal terminal wealth falls in the overfunded and underfunded regions are also calculated.
SCANDINAVIAN ACTUARIAL JOURNAL
(2023)
Article
Economics
Karsten Reichold, Carsten Jentsch
Summary: In this study, the authors propose a method that combines the VAR sieve bootstrap and self-normalization to address the issue of size distortions in traditional tests of hypotheses on the cointegrating vector. Simulation and empirical results demonstrate that using bootstrap critical values reduces size distortions associated with traditional test statistics, and combining the VAR sieve bootstrap with self-normalization leads to even less size distorted tests.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
(2023)
Article
Mathematics, Interdisciplinary Applications
Nicolo Alessandro Girardini, Simone Centellegher, Andrea Passerini, Ivano Bison, Fausto Giunchiglia, Bruno Lepri
Summary: This study analyzes the changes in students' behavior during the COVID-19 pandemic. By comparing the qualitative and quantitative differences in their daily routines between 2018 and 2020, the study finds that despite restrictions, there are minimal changes in the activities performed by students, but adaptation primarily occurs in the location and sociality dimensions.
Article
Mathematics, Interdisciplinary Applications
Hugo Contreras, Cristian Candia, Rodrigo Troncoso, Leo Ferres, Loreto Bravo, Bruno Lepri, Carlos Rodriguez-Sickert
Summary: Despite increased global attention on violence against women, understanding the factors that lead to women becoming victims remains a critical challenge. This study bridges this gap by examining the impact of domestic violence on women's mobility, using police records and mobile phone data. The findings reveal a negative correlation between physical violence and female mobility, highlighting the potential causal role of violence in limiting women's independence.
Article
Economics
Alberto Pallotta, Vito Ciciretti
Summary: The GARCH model is compared to three regime switching models in terms of forecasting volatility and identifying market regimes. The optimal number of states is determined using three methods and the robustness of the results is checked using a walk-forward methodology and cross-validation. The study finds that the Gated Recurrent Unit network performs best in volatility forecasting, while the Hidden Markov Model excels in discerning market regimes.
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
(2023)
