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Quantitative Methods in Finance

https://doi.org/10.2139/ssrn.5178205
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The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp
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Financial Modeling Under Non-Gaussian Distributions
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Pareto Models for Risk Management
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Nonparametric Kernel Density Estimation and Its Computational Aspects
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Modern Actuarial Risk Theory
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A modest proposal for preventing the children of poor people from being a burthen to their parents or country, and for making them beneficial to the public
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Gaussian elimination is not optimal
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Coherent multiperiod risk adjusted values and Bellman’s principle
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Broker-dealer Leverage and the Stock Market
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The arbitrage theory of capital asset pricing
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Combining forecasts: A review and annotated bibliography
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The effect of fuel economy standards on the U.S. automotive market: An hedonic demand analysis
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Measuring the societal impacts of automobile downsizing
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The pricing of commodity contracts
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Spurious regressions in econometrics
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Understanding spurious regressions in econometrics
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Statistical inference in vector autoregressions with possibly integrated processes
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Autoregressive conditional heteroskedasticity and changes in regime
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The econometrics of financial markets
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A review of power laws in real life phenomena
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The Rotterdam demand model half a century on
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What are the actual costs of cyber risk events?
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The comparisons of data mining techniques for the predictive accuracy of probability of default of credit card clients
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Combining expert forecasts: Can anything beat the simple average?
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High-Frequency Monitoring of Growth-at-Risk
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Explainable Artificial Intelligence (XAI): Concepts, taxonomies, opportunities and challenges toward responsible AI
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Estimating value-at-risk using a multivariate copula-based volatility model: Evidence from European banks
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The structure and degree of dependence: A quantile regression approach
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What’s trending in difference-in-differences? A synthesis of the recent econometrics literature
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The persistence of inflation in the United States
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Detecting outliers: Do not use standard deviation around the mean, use absolute deviation around the median
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Count (and count-like) data in finance
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Using epidemic betweenness to measure the influence of users in complex networks
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Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
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An introduction to ROC analysis
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Identifying important nodes by adaptive LeaderRank
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Global evidence on the distribution of GDP growth rates
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Solow or Lucas? Testing speed of convergence on a panel of OECD countries
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On variants of shortest-path betweenness centrality and their generic computation
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Asymptotics of sums of lognormal random variables with Gaussian copula
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A discussion of parameter and model uncertainty in insurance
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Review of guidelines for the use of combined forecasts
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Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
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Testing for differences in the tails of stock-market returns
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Chapter 11 Estimation for dirty data and flawed models
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Structural Vector Autoregressive Analysis
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Regulatory Sanctions and Reputational Damage in Financial Markets
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Ambiguity and uncertainty in probabilistic inference.
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The statistical power of abnormal-social psychological research: A review.
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The applicability of the Spearman-Brown formula for the measurement of reliability.
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Scaling behaviour in the dynamics of an economic index
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Systemic risk in banking ecosystems
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The H-index of a network node and its relation to degree and coreness
inferredcites →https://doi.org/10.1038/sj.ijo.0801715openalex-snapshot
Body weight and the shape of the natural distribution of weight, in very large samples of German, Austrian and Norwegian conscripts
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DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk
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Mostly Harmless Econometrics: An Empiricist's Companion
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A Bayesian Approach to the Linear Combination of Forecasts
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Multiscale mixing patterns in networks
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Forecasting livestock prices with individual and composite methods
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Power laws, Pareto distributions and Zipf's law
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A faster algorithm for betweenness centrality*
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Parsimony and Its Importance in Time Series Forecasting
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Statistical Laws of Family Expenditure
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Probabilistic Prediction
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Goodness of Fit and Related Inference Processes for Quantile Regression
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Ruin probabilities in classical risk models with gamma claims
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Exponentiated generalized Pareto distribution: Properties and applications towards extreme value theory
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Business-Cycle Phases and Their Transitional Dynamics
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A test for independence based on the correlation dimension
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Arrow's Theorem of the Deductible with Heterogeneous Beliefs
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Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets
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The profitability of pairs trading strategies: distance, cointegration and copula methods
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A Test for Multivariate Normality in Stock Returns
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Price fluctuations, market activity and trading volume
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On a Measure of Lack of Fit in Time Series Models
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Quantile regression for longitudinal data using the asymmetric Laplace distribution
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Which Extreme Values Are Really Extreme?
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Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas*
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Experts In Uncertainty
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Have Instrumental Variables Brought Us Closer to the Truth
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A More Credible Approach to Parallel Trends
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Pairs Trading: Performance of a Relative-Value Arbitrage Rule
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On the theory of errors and least squares
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Faster Matrix Multiplication via Asymmetric Hashing
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Extended Isolation Forest
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Generating "dependent" quasi-random numbers
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‘Combining Probability Distributions from Experts in Risk Analysis’
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Comparative Politics and the Synthetic Control Method
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A Practitioner's Guide to Estimation of Random-Coefficients Logit Models of Demand
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COINTEGRATION AND UNIT ROOTS
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Combining Probability Distributions From Experts in Risk Analysis
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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
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Does the Stock Market Overreact?
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
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Distribution of the Residual Autocorrelations in Multivariate Arma Time Series Models
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Probability and Statistics for Economists
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DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
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Isolation-Based Anomaly Detection
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The meaning and use of the area under a receiver operating characteristic (ROC) curve.
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Zipf's Law for Cities: An Explanation
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Estimating the Density Tail Index for Financial Time Series
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Determining the Number of Factors from Empirical Distribution of Eigenvalues
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Using Bayesian Model Averaging to Calibrate Forecast Ensembles
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Power-law distributions in empirical data
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Bootstrap Tests for Distributional Treatment Effects in Instrumental Variable Models
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Strictly Proper Scoring Rules, Prediction, and Estimation
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Dynamic Conditional Correlation
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Quantitative Risk Management: Concepts, Techniques, and Tools
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Nonparametric Econometrics: Theory and Practice
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Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
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Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
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Statistical and Probabilistic Methods in Actuarial Science
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Bayesian Data Analysis
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Bayes Rules!
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Revisiting Francis Galton’s Forecasting Competition
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A Simple General Approach to Inference About the Tail of a Distribution
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Estimating Tails of Probability Distributions
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Statistical Modeling: The Two Cultures (with comments and a rejoinder by the author)
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Combining Probability Distributions: A Critique and an Annotated Bibliography
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Uncertainty and The Welfare Economics of Medical Care
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A Grand Gender Convergence: Its Last Chapter
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The Next Generation of the Penn World Table
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Oligopolistic Price Leadership and Mergers: The United States Beer Industry
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Voluntary Export Restraints on Automobiles: Evaluating a Trade Policy
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Output Fluctuations in the United States: What Has Changed Since the Early 1980's?
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Malaria Eradication in the Americas: A Retrospective Analysis of Childhood Exposure
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Using Synthetic Controls: Feasibility, Data Requirements, and Methodological Aspects
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Power Laws in Economics: An Introduction
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Intuitions About Combining Opinions: Misappreciation of the Averaging Principle
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The Consensus of Subjective Probability Distributions
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Decision Analysis Expert Use
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Robust Portfolio Selection Problems
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Fixed-Point Approaches to Computing Bertrand-Nash Equilibrium Prices Under Mixed-Logit Demand
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On Rational Bubbles and Fat Tails
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Capital and Risk: New Evidence on Implications of Large Operational Losses
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Leaders in Social Networks, the Delicious Case
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DebtRank: A Microscopic Foundation for Shock Propagation
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Time Series Analysis
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Irrational Exuberance
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Python 3 for Machine Learning
inferredcites →https://doi.org/10.1515/jci-2016-0026openalex-snapshot
Synthetic Control Method: Inference, Sensitivity Analysis and Confidence Sets
inferredcites →https://doi.org/10.15609/annaeconstat2009.125-126.0079openalex-snapshot
Edmond Malinvaud and the Problem of Statistical Induction
inferredcites →https://doi.org/10.1596/1813-9450-8402openalex-snapshot
Returns to Investment in Education: A Decennial Review of the Global Literature
inferredcites →https://doi.org/10.1596/30154openalex-snapshot
Returns to Investment in Education: A Decennial Review of the Global Literature
inferredcites →https://doi.org/10.17016/ifdp.1997.597openalex-snapshot
Pitfalls in Tests for Changes in Correlations
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Dynamic Copula Quantile Regressions and Tail Area Dynamic Dependence in Forex Markets
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Pairs Trading: Performance of a Relative Value Arbitrage Rule
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Regulatory Sanctions and Reputational Damage in Financial Markets
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Machine Learning at Central Banks
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Real-time Nowcasting Growth-at-Risk using the Survey of Professional Forecasters
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Capital and Risk: New Evidence on Implications of Large Operational Losses
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An Introduction to the Ecb's Survey of Professional Forecasters
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Output Fluctuations in the United States: What Has Changed Since the Early 1980s?
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Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory
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Discussion of the Danish Data on Large Fire Insurance Losses
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Critical Values for Cointegration Tests
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A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
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Parameter and Quantile Estimation for the Generalized Pareto Distribution
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Comparing Predictive Accuracy
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Kernel Regression in Empirical Microeconomics
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What Do Statistical "Demand Curves" Show?
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Risk, Ambiguity, and the Savage Axioms
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