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Citation Profile [Updated: 2020-01-06 15:15:11]
5 Years H
52
Impact Factor
0.35
5 Years IF
0.27
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.14 0 0 0 0 0 0 0 0 0 0 0.07
1991 0 0.11 0 0 0 0 0 0 0 0 0 0 0.06
1992 0 0.1 0 0 0 0 0 0 0 0 0 0 0.07
1993 0 0.13 0 0 0 0 0 0 0 0 0 0 0.07
1994 0 0.13 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.18 0 0 0 0 0 0 0 0 0 0 0.09
1996 0 0.22 0 0 0 0 0 1 0 0 0 0 0.11
1997 0 0.23 0.47 0 15 15 272 6 8 0 0 1 16.7 6 0.4 0.12
1998 0.53 0.24 0.2 0.53 44 59 285 12 20 15 8 15 8 2 16.7 2 0.05 0.15
1999 0.1 0.32 0.15 0.1 53 112 527 17 37 59 6 59 6 3 17.6 8 0.15 0.21
2000 0.24 0.47 0.39 0.28 74 186 591 72 109 97 23 112 31 19 26.4 9 0.12 0.2
2001 0.28 0.39 0.47 0.27 97 283 655 127 241 127 36 186 51 52 40.9 29 0.3 0.22
2002 0.27 0.41 0.34 0.22 112 395 890 131 375 171 46 283 62 37 28.2 28 0.25 0.23
2003 0.25 0.41 0.31 0.19 107 502 420 150 529 209 53 380 72 34 22.7 6 0.06 0.24
2004 0.21 0.47 0.34 0.23 150 652 897 221 752 219 46 443 102 30 13.6 23 0.15 0.27
2005 0.18 0.49 0.31 0.2 190 842 719 247 1011 257 46 540 108 63 25.5 19 0.1 0.29
2006 0.22 0.48 0.32 0.21 245 1087 621 351 1363 340 76 656 139 53 15.1 12 0.05 0.26
2007 0.18 0.4 0.28 0.19 285 1372 1316 379 1751 435 77 804 149 79 20.8 33 0.12 0.22
2008 0.18 0.45 0.3 0.18 301 1673 1044 482 2245 530 96 977 174 90 18.7 21 0.07 0.23
2009 0.2 0.43 0.3 0.18 342 2015 1144 569 2842 586 116 1171 205 134 23.6 39 0.11 0.23
2010 0.2 0.37 0.27 0.17 483 2498 1173 648 3509 643 131 1363 235 138 21.3 39 0.08 0.19
2011 0.2 0.47 0.34 0.18 516 3014 1372 997 4535 825 165 1656 303 241 24.2 145 0.28 0.25
2012 0.2 0.5 0.31 0.2 585 3599 1369 1071 5635 999 204 1927 387 326 30.4 81 0.14 0.26
2013 0.25 0.52 0.33 0.21 707 4306 1775 1396 7072 1101 270 2227 476 447 32 144 0.2 0.24
2014 0.3 0.54 0.37 0.25 793 5099 1577 1818 8950 1292 392 2633 665 629 34.6 147 0.19 0.28
2015 0.32 0.54 0.39 0.27 794 5893 1405 2235 11266 1500 476 3084 824 848 37.9 145 0.18 0.27
2016 0.33 0.58 0.41 0.28 954 6847 1121 2759 14101 1587 531 3395 957 892 32.3 190 0.2 0.28
2017 0.3 0.6 0.39 0.26 939 7786 992 2957 17165 1748 516 3833 1009 999 33.8 183 0.19 0.29
2018 0.33 0.62 0.39 0.28 1446 9232 858 3484 20787 1893 623 4187 1189 1160 33.3 273 0.19 0.32
2019 0.35 0.33 0.27 2290 11522 581 3826 24613 2385 842 4926 1323 1718 44.9 522 0.23
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12007The Product Space Conditions the Development of Nations. (2007). Hidalgo, Cesar ; Hausmann, Ricardo ; A. -L. Barabasi, ; Klinger, B.. In: Papers. RePEc:arx:papers:0708.2090.

Full description at Econpapers || Download paper

489
22002On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk. In: Papers. RePEc:arx:papers:cond-mat/0104295.

Full description at Econpapers || Download paper

338
32009The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890.

Full description at Econpapers || Download paper

197
42008Multifractal detrended cross-correlation analysis for two nonstationary signals. (2008). Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:0803.2773.

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166
51999Scaling of the distribution of fluctuations of financial market indices. (1999). Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A. Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9905305.

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158
62012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1201.4776.

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128
71999Universal and non-universal properties of cross-correlations in financial time series. (1999). Rosenow, Bernd ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Luis A. Nunes Amaral, ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9902283.

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124
81999The statistical properties of the volatility of price fluctuations. (1999). Peng, Chung-Kang ; Liu, Yanhui ; Cizeau, Pierre ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9903369.

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123
92000Statistical mechanics of money. (2000). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0001432.

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115
101999Scaling of the distribution of price fluctuations of individual companies. (1999). Stanley, H. E. ; Plerou, V. ; Gopikrishnan, P. ; Meyer, M. ; L. A. N. Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9907161.

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115
112011Multifractal detrending moving average cross-correlation analysis. (2011). Zhou, Wei-Xing ; Jiang, Zhi-Qiang. In: Papers. RePEc:arx:papers:1103.2577.

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112
122009Colloquium: Statistical mechanics of money, wealth, and income. (2009). Yakovenko, Victor ; Rosser, Barkley. In: Papers. RePEc:arx:papers:0905.1518.

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110
132010Detrending moving average algorithm for multifractals. (2010). Gu, Gao-Feng ; Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:1005.0877.

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106
142010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Schulz, Antje ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:0708.1756.

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105
152004The Predictive Power of Zero Intelligence in Financial Markets. (2004). Zovko, Ilija ; Farmer, J. ; Patelli, Paolo. In: Papers. RePEc:arx:papers:cond-mat/0309233.

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104
162005Utility maximization in incomplete markets. (2005). Muller, Matthias ; Hu, Ying ; Imkeller, Peter. In: Papers. RePEc:arx:papers:math/0508448.

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102
171998Inverse Cubic Law for the Probability Distribution of Stock Price Variations. (1998). Stanley, Eugene H ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9803374.

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101
182000Statistical Properties of Share Volume Traded in Financial Markets. (2000). Gabaix, Xavier ; Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran . In: Papers. RePEc:arx:papers:cond-mat/0008113.

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99
192011The network of global corporate control. (2011). Vitali, Stefania ; Glattfelder, James ; battiston, stefano. In: Papers. RePEc:arx:papers:1107.5728.

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99
201998Universal features in the growth dynamics of complex organizations. (1998). canning, david ; Stanley, Eugene H. ; Lee, Youngki ; Young Ki Lee, ; Meyer, Martin ; Luis A. N. Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9804100.

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97
212004What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:cond-mat/0312703.

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96
222013Model-independent Bounds for Option Prices: A Mass Transport Approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1106.5929.

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93
232000Fractional calculus and continuous-time finance II: the waiting-time distribution. (2000). Scalas, Enrico ; Raberto, Marco ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0006454.

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88
242004Networks of equities in financial markets. (2004). Mantegna, Rosario ; Lillo, F. ; Micciche, S. ; Vandewalle, N. ; Caldarelli, G. ; Bonanno, G.. In: Papers. RePEc:arx:papers:cond-mat/0401300.

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86
252004The long memory of the efficient market. (2004). Farmer, J. ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:cond-mat/0311053.

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85
262015Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1305.6008.

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85
272003Multifractal Properties of Price Fluctuations of Stocks and Commodities. (2003). Stanley, Eugene H. ; Ashkenazy, Yosef ; Matia, Kaushik . In: Papers. RePEc:arx:papers:cond-mat/0308012.

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77
282001Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States. (2001). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0103544.

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76
292001Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0106520.

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76
302005Structure and Evolution of the World Trade Network. (2005). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:physics/0502066.

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76
312011Evolution of worldwide stock markets, correlation structure and correlation based graphs. (2011). Mantegna, Rosario ; Song, Dong-Ming ; Zhou, Wei-Xing ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1103.5555.

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74
322007On the optimal dividend problem for a spectrally negative L\{e}vy process. (2007). Avram, Florin ; Palmowski, Zbigniew ; Pistorius, Martijn R.. In: Papers. RePEc:arx:papers:math/0702893.

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70
331997Scaling behavior in economics: I. Empirical results for company growth. (1997). Salinger, Michael ; Stanley, H. E. ; Buldyrev, S. V. ; Havlin, S. ; Maass, P. ; M. H. R. Stanley, ; L. A. N. Amaral, ; Leschhorn, H.. In: Papers. RePEc:arx:papers:cond-mat/9702082.

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69
342014A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. (2014). Galichon, Alfred ; Henry-Labordere, P. ; Touzi, N.. In: Papers. RePEc:arx:papers:1401.3921.

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68
352000Fractional calculus and continuous-time finance. (2000). Scalas, Enrico ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0001120.

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67
361997Physics of Finance. (1997). Ilinski, Kirill. In: Papers. RePEc:arx:papers:hep-th/9710148.

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66
372014Should we build more large dams? The actual costs of hydropower megaproject development. (2014). Flyvbjerg, Bent ; Budzier, Alexander ; Lunn, Daniel ; Ansar, Atif . In: Papers. RePEc:arx:papers:1409.0002.

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66
382017When Should You Adjust Standard Errors for Clustering?. (2017). Wooldridge, Jeffrey ; Athey, Susan ; Abadie, Alberto ; Imbens, Guido. In: Papers. RePEc:arx:papers:1710.02926.

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65
392004Fitness-dependent topological properties of the World Trade Web. (2004). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:cond-mat/0403051.

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65
402017Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperu, Waldo ; Jos, Mar'Ia . In: Papers. RePEc:arx:papers:1708.04532.

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64
412006A fitness model for the Italian Interbank Money Market. (2006). Iori, Giulia ; Caldarelli, G. ; De Masi, G.. In: Papers. RePEc:arx:papers:physics/0610108.

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62
422015Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces. (2015). Podobnik, Boris ; Jiang, Zhi-Qiang ; Liu, Ya-Min ; Qian, Xi-Yuan ; Zhou, Wei-Xing ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:1504.02435.

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60
432007Point estimation with exponentially tilted empirical likelihood. (2007). Schennach, Susanne. In: Papers. RePEc:arx:papers:0708.1874.

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60
442000Statistical mechanics of money: How saving propensity affects its distribution. (2000). Chakraborti, Anirban ; Chakrabarti, Bikas K.. In: Papers. RePEc:arx:papers:cond-mat/0004256.

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59
452014The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy. (2014). Tessone, Claudio Juan ; Mavrodiev, Pavlin ; PERONY, NICOLAS ; Garcia, David. In: Papers. RePEc:arx:papers:1408.1494.

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58
462013Inference on Counterfactual Distributions. (2013). Melly, Blaise ; Fernandez-Val, Ivan ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:0904.0951.

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57
472007Correlation based networks of equity returns sampled at different time horizons. (2007). Mantegna, Rosario ; Tumminello, M. ; Di Matteo, T. ; Aste, T.. In: Papers. RePEc:arx:papers:physics/0605251.

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57
482003Critical Market Crashes. (2003). Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0301543.

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56
492010Multinetwork of international trade: A commodity-specific analysis. (2010). Fagiolo, Giorgio ; Barigozzi, Matteo ; Garlaschelli, Diego. In: Papers. RePEc:arx:papers:0908.1879.

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53
502014What You Should Know About Megaprojects, and Why: An Overview. (2014). Flyvbjerg, Bent. In: Papers. RePEc:arx:papers:1409.0003.

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53
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12007The Product Space Conditions the Development of Nations. (2007). Hidalgo, Cesar ; Hausmann, Ricardo ; A. -L. Barabasi, ; Klinger, B.. In: Papers. RePEc:arx:papers:0708.2090.

Full description at Econpapers || Download paper

134
22009The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890.

Full description at Econpapers || Download paper

65
32017When Should You Adjust Standard Errors for Clustering?. (2017). Wooldridge, Jeffrey ; Athey, Susan ; Abadie, Alberto ; Imbens, Guido. In: Papers. RePEc:arx:papers:1710.02926.

Full description at Econpapers || Download paper

65
42017Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperu, Waldo ; Jos, Mar'Ia . In: Papers. RePEc:arx:papers:1708.04532.

Full description at Econpapers || Download paper

59
52002On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk. In: Papers. RePEc:arx:papers:cond-mat/0104295.

Full description at Econpapers || Download paper

52
62014The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy. (2014). Tessone, Claudio Juan ; Mavrodiev, Pavlin ; PERONY, NICOLAS ; Garcia, David. In: Papers. RePEc:arx:papers:1408.1494.

Full description at Econpapers || Download paper

40
72013Inference on Counterfactual Distributions. (2013). Melly, Blaise ; Fernandez-Val, Ivan ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:0904.0951.

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38
82013Average and Quantile Effects in Nonseparable Panel Models. (2013). Hahn, Jinyong ; Fernandez-Val, Ivan ; Chernozhukov, Victor ; Newey, Whitney. In: Papers. RePEc:arx:papers:0904.1990.

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37
92008Multifractal detrended cross-correlation analysis for two nonstationary signals. (2008). Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:0803.2773.

Full description at Econpapers || Download paper

36
102012Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1201.4776.

Full description at Econpapers || Download paper

35
112013Model-independent Bounds for Option Prices: A Mass Transport Approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1106.5929.

Full description at Econpapers || Download paper

34
122015Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1305.6008.

Full description at Econpapers || Download paper

33
132015Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces. (2015). Podobnik, Boris ; Jiang, Zhi-Qiang ; Liu, Ya-Min ; Qian, Xi-Yuan ; Zhou, Wei-Xing ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:1504.02435.

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31
142015Some New Asymptotic Theory for Least Squares Series: Pointwise and Uniform Results. (2015). Chernozhukov, Victor ; Kato, Kengo ; Chetverikov, Denis ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1212.0442.

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29
152000Statistical mechanics of money. (2000). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0001432.

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28
162015What is the best risk measure in practice? A comparison of standard measures. (2015). Tasche, Dirk ; Kratz, Marie ; Emmer, Susanne . In: Papers. RePEc:arx:papers:1312.1645.

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27
172017Linking Economic Complexity, Institutions and Income Inequality. (2017). Hidalgo, Cesar ; Hartmann, Dominik ; M. Aristar'an, ; Jara-Figueroa, C. ; Guevara, M.. In: Papers. RePEc:arx:papers:1505.07907.

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26
182011Multifractal detrending moving average cross-correlation analysis. (2011). Zhou, Wei-Xing ; Jiang, Zhi-Qiang. In: Papers. RePEc:arx:papers:1103.2577.

Full description at Econpapers || Download paper

26
192011The network of global corporate control. (2011). Vitali, Stefania ; Glattfelder, James ; battiston, stefano. In: Papers. RePEc:arx:papers:1107.5728.

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25
202016Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure. (2016). Ziel, Florian. In: Papers. RePEc:arx:papers:1509.01966.

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25
212014What You Should Know About Megaprojects, and Why: An Overview. (2014). Flyvbjerg, Bent. In: Papers. RePEc:arx:papers:1409.0003.

Full description at Econpapers || Download paper

25
222007On the optimal dividend problem for a spectrally negative L\{e}vy process. (2007). Avram, Florin ; Palmowski, Zbigniew ; Pistorius, Martijn R.. In: Papers. RePEc:arx:papers:math/0702893.

Full description at Econpapers || Download paper

24
232005Utility maximization in incomplete markets. (2005). Muller, Matthias ; Hu, Ying ; Imkeller, Peter. In: Papers. RePEc:arx:papers:math/0508448.

Full description at Econpapers || Download paper

23
242018On the Effect of Bias Estimation on Coverage Accuracy in Nonparametric Inference. (2018). Cattaneo, Matias ; Calonico, Sebastian ; Farrell, Max H. In: Papers. RePEc:arx:papers:1508.02973.

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23
252014Should we build more large dams? The actual costs of hydropower megaproject development. (2014). Flyvbjerg, Bent ; Budzier, Alexander ; Lunn, Daniel ; Ansar, Atif . In: Papers. RePEc:arx:papers:1409.0002.

Full description at Econpapers || Download paper

23
262010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Schulz, Antje ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:0708.1756.

Full description at Econpapers || Download paper

23
272014A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. (2014). Galichon, Alfred ; Henry-Labordere, P. ; Touzi, N.. In: Papers. RePEc:arx:papers:1401.3921.

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22
282018Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. (2018). Weron, Rafał ; Ziel, Florian. In: Papers. RePEc:arx:papers:1805.06649.

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22
292015Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo. In: Papers. RePEc:arx:papers:1502.04592.

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21
302019Berk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified Models. (2016). Esponda, Ignacio ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1411.1152.

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21
312009Colloquium: Statistical mechanics of money, wealth, and income. (2009). Yakovenko, Victor ; Rosser, Barkley. In: Papers. RePEc:arx:papers:0905.1518.

Full description at Econpapers || Download paper

21
322010Detrending moving average algorithm for multifractals. (2010). Gu, Gao-Feng ; Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:1005.0877.

Full description at Econpapers || Download paper

21
331999Scaling of the distribution of fluctuations of financial market indices. (1999). Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A. Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9905305.

Full description at Econpapers || Download paper

20
342011Evolution of worldwide stock markets, correlation structure and correlation based graphs. (2011). Mantegna, Rosario ; Song, Dong-Ming ; Zhou, Wei-Xing ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1103.5555.

Full description at Econpapers || Download paper

20
352015The multi-layer network nature of systemic risk and its implications for the costs of financial crises. (2015). van der Leij, Marco ; Molina-Borboa, José Luis ; Thurner, Stefan ; Seraf'in Mart'inez-Jaramillo, ; Jos'e Luis Molina-Borboa, ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1505.04276.

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19
362016Does Infrastructure Investment Lead to Economic Growth or Economic Fragility? Evidence from China. (2016). Flyvbjerg, Bent ; Ansar, Atif ; Lunn, Daniel ; Budzier, Alexander . In: Papers. RePEc:arx:papers:1609.00415.

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19
372015Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit. (2015). Leung, Tim ; Li, Xin. In: Papers. RePEc:arx:papers:1411.5062.

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18
382017Evolutionary dynamics of the cryptocurrency market. (2017). Baronchelli, Andrea ; Pastor-Satorras, Romualdo ; Kandler, Anne ; Alessandretti, Laura ; Elbahrawy, Abeer. In: Papers. RePEc:arx:papers:1705.05334.

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392015Limit theorems for nearly unstable Hawkes processes. (2015). Rosenbaum, Mathieu ; Jaisson, Thibault . In: Papers. RePEc:arx:papers:1310.2033.

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18
402003Multifractal Properties of Price Fluctuations of Stocks and Commodities. (2003). Stanley, Eugene H. ; Ashkenazy, Yosef ; Matia, Kaushik . In: Papers. RePEc:arx:papers:cond-mat/0308012.

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17
412018Quasi-Experimental Shift-Share Research Designs. (2018). Hull, Peter ; Borusyak, Kirill ; Jaravel, Xavier. In: Papers. RePEc:arx:papers:1806.01221.

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17
422016Electricity Price Forecasting using Sale and Purchase Curves: The X-Model. (2016). Ziel, Florian ; Steinert, Rick. In: Papers. RePEc:arx:papers:1509.00372.

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17
432018Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects. (2018). Sun, Liyang ; Abraham, Sarah. In: Papers. RePEc:arx:papers:1804.05785.

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17
442015DebtRank: A microscopic foundation for shock propagation. (2015). Bardoscia, Marco ; Caccioli, Fabio ; Battiston, Stefano ; Caldarelli, Guido. In: Papers. RePEc:arx:papers:1504.01857.

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451999Universal and non-universal properties of cross-correlations in financial time series. (1999). Rosenow, Bernd ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Luis A. Nunes Amaral, ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9902283.

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17
462000Fractional calculus and continuous-time finance II: the waiting-time distribution. (2000). Scalas, Enrico ; Raberto, Marco ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0006454.

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16
472016The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1609.02108.

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16
482014Detrended Cross-Correlation Analysis Consistently Extended to Multifractality. (2014). Jaros{l}aw Kwapie'n, ; Jadach, Stanislaw ; Stanis{l}aw Dro. zd. z, ; O'Swicecimka, Pawel ; Forczek, Marcin . In: Papers. RePEc:arx:papers:1308.6148.

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492016Effects of income redistribution on the evolution of cooperation in spatial public goods games. (2016). Pei, Zhenhua ; Du, Jinming ; Wang, Baokui . In: Papers. RePEc:arx:papers:1611.01531.

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16
502014The Economics of BitCoin Price Formation. (2014). Rajcaniova, Miroslava ; Kancs, d'Artis ; Ciaian, Pavel. In: Papers. RePEc:arx:papers:1405.4498.

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Citing documents used to compute impact factor: 842
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2019Revealed preference and identification. (2019). Gorno, Leandro. In: Journal of Economic Theory. RePEc:eee:jetheo:v:183:y:2019:i:c:p:698-739.

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2019Robust Pricing and Hedging around the Globe. (2019). Stebegg, Florian ; Herrmann, Sebastian. In: Papers. RePEc:arx:papers:1707.08545.

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2019Fine Properties of the Optimal Skorokhod Embedding Problem. (2019). Stebegg, Florian ; Nutz, Marcel ; Beiglbock, Mathias. In: Papers. RePEc:arx:papers:1903.03887.

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2019Robust bounds for the American put. (2019). Hobson, David ; Norgilas, Dominykas. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00385-4.

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2019Approximation of Optimal Transport problems with marginal moments constraints. (2019). Lombardi, Damiano ; Ehrlacher, Virginie ; Coyaud, Rafael ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:1905.05663.

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2019Inference under covariate-adaptive randomization with multiple treatments. (2019). Shaikh, Azeem ; Canay, Ivan A ; Bugni, Federico A. In: CeMMAP working papers. RePEc:ifs:cemmap:04/19.

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2019Inference under Covariate-Adaptive Randomization with Multiple Treatments. (2019). Shaikh, Azeem ; Canay, Ivan A ; Bugni, Federico A. In: Papers. RePEc:arx:papers:1806.04206.

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2019Financial contagion and economic development: An epidemiological approach. (2019). Bucci, Alberto ; Marsiglio, Simone ; Liuzzi, Danilo ; la Torre, Davide. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:211-228.

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2019Dynamic quality signaling with hidden actions. (2019). Dilme, Francesc . In: Games and Economic Behavior. RePEc:eee:gamebe:v:113:y:2019:i:c:p:116-136.

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2019Strategic real options. (2019). Kolb, Aaron M. In: Journal of Economic Theory. RePEc:eee:jetheo:v:183:y:2019:i:c:p:344-383.

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2019Evaluating regulatory strategies for mitigating hydrological risk in Brazil through diversification of its electricity mix. (2019). Mercure, Jean-Francois ; Salas, Pablo ; Yang, Chung-Han ; Dalmarco, Arthur R ; Paim, Maria-Augusta ; Viuales, Jorge E ; da Silva, Tatiana Bruce ; Derani, Cristiane ; Salgueirinho, Jose Baltazar ; Lindner, Soren. In: Energy Policy. RePEc:eee:enepol:v:128:y:2019:i:c:p:393-401.

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2019Extreme-aggregation measures in the RDEU model. (2019). Hu, Taizhong ; Chen, Ouxiang. In: Statistics & Probability Letters. RePEc:eee:stapro:v:148:y:2019:i:c:p:155-163.

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2019Multiple Subordinated Modeling of Asset Returns. (2019). Fabozzi, Frank ; Rachev, Svetlozar T ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1907.12600.

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2019An intelligent financial portfolio trading strategy using deep Q-learning. (2019). Gu, Dong ; Sim, Min Kyu ; Park, Hyungjun. In: Papers. RePEc:arx:papers:1907.03665.

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2019Automatic Financial Trading Agent for Low-risk Portfolio Management using Deep Reinforcement Learning. (2019). Cho, Sung-Bae ; Bu, Seok-Jun ; Shin, Wonsup. In: Papers. RePEc:arx:papers:1909.03278.

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2019PAGAN: Portfolio Analysis with Generative Adversarial Networks. (2019). Cristiano, A ; Bekas, Costas ; Istrate, Roxana ; Scheidegger, Florian ; Li, Jianbo ; Zhu, Yada ; Mariani, Giovanni. In: Papers. RePEc:arx:papers:1909.10578.

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2019Adaptive Portfolio by Solving Multi-armed Bandit via Thompson Sampling. (2019). Liang, Qianqiao ; Wang, Yan ; Zheng, Xiaolin ; Zhu, Mengying . In: Papers. RePEc:arx:papers:1911.05309.

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2019An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. (2019). Chong, Wing Fung ; Zariphopoulou, Thaleia ; Liang, Gechun ; Hu, Ying. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:1:d:10.1007_s00780-018-0377-3.

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2019Portfolio diversification with virtual currency: Evidence from bitcoin. (2019). Saadi, Samir ; Guesmi, Khaled ; Ftiti, Zied ; Abid, Ilyes. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:431-437.

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2019Leave-out estimation of variance components. (2019). Saggio, Raffaele ; Kline, Patrick ; Solvsten, Mikkel. In: Papers. RePEc:arx:papers:1806.01494.

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2019Cluster-Robust Standard Errors for Linear Regression Models with Many Controls. (2019). D'Adamo, Riccardo. In: Papers. RePEc:arx:papers:1806.07314.

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2019Model Selection in Utility-Maximizing Binary Prediction. (2019). Su, Jiun-Hua. In: Papers. RePEc:arx:papers:1903.00716.

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2019Policy Targeting under Network Interference. (2019). Viviano, Davide. In: Papers. RePEc:arx:papers:1906.10258.

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2019Exact computation of Censored Least Absolute Deviations estimator. (2019). Florios, Kostas ; Bilias, Yannis ; Skouras, Spyros. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:584-606.

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2019Deep Learning Volatility. (2019). Tomas, Mehdi ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1901.09647.

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2019Volatility and volatility-linked derivatives: estimation, modeling, and pricing. (2019). Wang, Tai-Ho ; Mancino, Maria Elvira ; Alos, Elisa. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00271-w.

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2019Optimal Experimental Design for Staggered Rollouts. (2019). Imbens, Guido ; Bayati, Mohsen ; Athey, Susan ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1911.03764.

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2019The Role of the Propensity Score in Fixed Effect Models. (2019). Arkhangelsky, Dmitry ; Imbens, Guido. In: Papers. RePEc:arx:papers:1807.02099.

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2019Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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2019State-Building through Public Land Disposal? An Application of Matrix Completion for Counterfactual Prediction. (2019). Poulos, Jason. In: Papers. RePEc:arx:papers:1903.08028.

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2019Better Late Than Never? How Late Completion Affects the Early Careers of Dropouts. (2019). Strøm, Marte ; Barth, Erling ; Vanhala, Pekka ; Strom, Marte ; Lindahl, Lena ; Asplund, Rita ; Albak, Karsten. In: IZA Discussion Papers. RePEc:iza:izadps:dp12560.

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2019Inference in Differences-in-Differences: How Much Should We Trust in Independent Clusters?. (2019). Ferman, Bruno. In: Papers. RePEc:arx:papers:1909.01782.

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2019Double-Robust Identification for Causal Panel Data Models. (2019). Arkhangelsky, Dmitry ; Imbens, Guido W. In: Papers. RePEc:arx:papers:1909.09412.

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2019Uniqueness for contagious McKean--Vlasov systems in the weak feedback regime. (2018). Sojmark, Andreas ; Ledger, Sean. In: Papers. RePEc:arx:papers:1811.12356.

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2019Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method. (2019). Itkin, Andrey ; Soleymani, Fazlollah. In: Papers. RePEc:arx:papers:1903.00937.

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2019Does the monetary policy influenced cross-correlations on the main world stocks markets? Power Law Classification Scheme analysis. (2019). Trela, Zenon ; Tadla, Adrian ; Mikiewicz, Janusz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:519:y:2019:i:c:p:72-81.

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2019A numerical equivalence result for generalized method of moments. (2019). Phillips, Robert. In: Economics Letters. RePEc:eee:ecolet:v:179:y:2019:i:c:p:13-15.

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2019A Bootstrap Test for the Existence of Moments for GARCH Processes. (2019). Heinemann, Alexander. In: Papers. RePEc:arx:papers:1902.01808.

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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: Papers. RePEc:arx:papers:1909.04661.

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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: MPRA Paper. RePEc:pra:mprapa:95965.

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2019Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2019). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco. In: Papers. RePEc:arx:papers:1910.01044.

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2019Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2019). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:625.

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2019Three Dimensions of Central Bank Credibility and Inferential Expectations: The Euro Zone. (2019). Zizzo, Daniel J ; Moffat, Peter ; Menzies, Gordon D ; Henckel, Timo. In: Working Paper Series. RePEc:uts:ecowps:56.

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2019Three Dimensions of Central Bank Credibility and Inferential Expectations: The Euro Zone. (2019). Zizzo, Daniel ; Henckel, Timo ; Moffat, Peter ; Menzies, Gordon D. In: Working Paper Series. RePEc:uts:ecowps:2019/02.

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2019Influence of petroleum and gas trade on EU economies from the reduced Google matrix analysis of UN COMTRADE data. (2019). Shepelyansky, D L ; Jos'e Lages, ; Ermann, Leonardo ; Coquid, C'Elestin. In: Papers. RePEc:arx:papers:1903.01820.

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2019Visualization of a directed network with focus on its hierarchy and circularity. (2019). Kichikawa, Yuichi ; Inoue, Hiroyasu ; Iyetomi, Hiroshi ; Iino, Takashi. In: Journal of Computational Social Science. RePEc:spr:jcsosc:v:2:y:2019:i:1:d:10.1007_s42001-019-00031-1.

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2019Identification of Key Companies for International Profit Shifting in the Global Ownership Network. (2019). Ikeda, Yuichi ; Chakraborty, Abhijit ; Nakamoto, Tembo. In: Papers. RePEc:arx:papers:1904.12397.

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2019Evaluation of Supply Chain Using Hierarchical Analysis. (2019). Timiryanova, Venera Maratovna . In: International Journal of Economics & Business Administration (IJEBA). RePEc:ers:ijebaa:v:vii:y:2019:i:3:p:178-186.

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2019The Topology of Time Series: Improving Recession Forecasting from Yield Spreads. (2019). Rudkin, Simon ; Dlotko, Pawel. In: Working Papers. RePEc:swn:wpaper:2019-02.

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2019Robust Utility Maximizing Strategies under Model Uncertainty and their Convergence. (2019). Westphal, Dorothee ; Sass, Jorn. In: Papers. RePEc:arx:papers:1909.01830.

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2019From microscopic price dynamics to multidimensional rough volatility models. (2019). Rosenbaum, Mathieu ; Tomas, Mehdi. In: Papers. RePEc:arx:papers:1910.13338.

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2019From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect. (2019). Rosenbaum, Mathieu ; Jusselin, Paul ; Dandapani, Aditi. In: Papers. RePEc:arx:papers:1907.06151.

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2019Behavioral sciences and auto-transformations. Introduction. (2019). Harin, Alexander. In: MPRA Paper. RePEc:pra:mprapa:97344.

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2019Real-time price-based demand response model for combined heat and power systems. (2019). Jalali, Mehdi ; Seyedi, Heresh ; Zare, Kazem ; Alipour, Manijeh. In: Energy. RePEc:eee:energy:v:168:y:2019:i:c:p:1119-1127.

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2019An analysis of cryptocurrencies conditional cross correlations. (2019). Fernandez Bariviera, Aurelio ; Martinez-Ibanez, Oscar ; Aslanidis, Nektarios. In: Papers. RePEc:arx:papers:1811.08365.

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2019Clustering patterns in efficiency and the coming-of-age of the cryptocurrency market. (2019). Ribeiro, Haroldo V ; Perc, Matjaz. In: Papers. RePEc:arx:papers:1901.04967.

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2019Signatures of crypto-currency market decoupling from the Forex. (2019). Wkatorek, Marcin ; Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Zd, Stanislaw Dro. In: Papers. RePEc:arx:papers:1906.07834.

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2019Bitcoin returns and risk: A general GARCH and GAS analysis. (2019). Troster, Victor ; Tiwari, Aviral ; Shahbaz, Muhammad ; Macedo, Demian Nicolas. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:187-193.

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2019Multiresolution analysis and spillovers of major cryptocurrency markets. (2019). Alagidede, Imhotep Paul ; Omane-Adjepong, Maurice. In: Research in International Business and Finance. RePEc:eee:riibaf:v:49:y:2019:i:c:p:191-206.

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2019The Inefficiency of Litecoin: A Dynamic Analysis. (2019). Tiwari, Aviral ; Hammoudeh, Shawkat ; Jana, R K. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:17:y:2019:i:2:d:10.1007_s40953-018-0149-0.

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2019A Structural Model of a Multitasking Salesforce: Job Task Allocation and Incentive Plan Design. (2019). Uetake, Kosuke ; Sudhir, K ; Kim, Minkyung. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2199.

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2019Mechanics of good trade execution in the framework of linear temporary market impact. (2019). Brigo, Damiano ; Bellani, Claudio. In: Papers. RePEc:arx:papers:1909.10464.

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2019Information exchange links, knowledge exposure, and adoption of agricultural technologies in northern Uganda. (2019). Shikuku, Kelvin Mashisia. In: World Development. RePEc:eee:wdevel:v:115:y:2019:i:c:p:94-106.

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2019Local Best Practices for Business Growth. (2019). Zia, Bilal ; Uras, Burak ; Rüschenpöhler, Julius ; Dalton, Patricio ; Ruschenpohler, Julius. In: Discussion Paper. RePEc:tiu:tiucen:fc650e2f-88cf-4d75-8257-f221751d3db0.

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2019The Value of Information in Technology Adoption. (2019). Zenou, Yves ; Islam, Asad ; Zhang, Xin ; Ushchev, Philip. In: IZA Discussion Papers. RePEc:iza:izadps:dp12672.

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2019Effect of network-based targeting on the diffusion of good aquaculture practices among shrimp producers in Vietnam. (2019). Suzuki, Aya ; Nam, Vu ; Lee, Guenwoo. In: World Development. RePEc:eee:wdevel:v:124:y:2019:i:c:12.

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2019Discussants. (2019). Rose, Michael ; Opolot, Daniel ; Georg, Co-Pierre. In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy. RePEc:zbw:vfsc19:203575.

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2019Model-Free Reinforcement Learning for Financial Portfolios: A Brief Survey. (2019). Sato, Yoshiharu. In: Papers. RePEc:arx:papers:1904.04973.

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2019Deep Reinforcement Learning in Financial Markets. (2019). Chakraborty, Souradeep. In: Papers. RePEc:arx:papers:1907.04373.

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2019Dynamic Portfolio Management with Reinforcement Learning. (2019). Cao, Yijie ; Li, Yinheng ; Wang, Junhao. In: Papers. RePEc:arx:papers:1911.11880.

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2019Deep-learning based numerical BSDE method for barrier options. (2019). Sudjianto, Agus ; Xing, Xiaojing ; Yu, Bing. In: Papers. RePEc:arx:papers:1904.05921.

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2019Deep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing. (2019). Li, Peter ; Xu, Zhe ; Liang, Jian. In: Papers. RePEc:arx:papers:1907.10578.

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2019Model Specification Test with Unlabeled Data: Approach from Covariate Shift. (2019). Kawarazaki, Hikaru ; Kato, Masahiro . In: Papers. RePEc:arx:papers:1911.00688.

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2019Queue-reactive Hawkes models for the order flow. (2019). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Rambaldi, Marcello ; Wu, Peng. In: Papers. RePEc:arx:papers:1901.08938.

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2019Wild Bootstrap and Asymptotic Inference with Multiway Clustering. (2019). Webb, Matthew ; Nielsen, Morten ; MacKinnon, James. In: Working Paper. RePEc:qed:wpaper:1415.

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2019Empirical Process Results for Exchangeable Arrays. (2019). D'Haultfoeuille, Xavier ; Guyonvarch, Yannick ; Davezies, Laurent. In: Papers. RePEc:arx:papers:1906.11293.

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2019When and How to Deal with Clustered Errors in Regression Models. (2019). Webb, Matthew ; MacKinnon, James. In: Working Paper. RePEc:qed:wpaper:1421.

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2019Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact. (2019). Nadtochiy, Sergey ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1910.01778.

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2019Stock market daily volatility and information measures of predictability. (2019). Prattico, Flavio ; Petroni, Filippo ; Gismondi, Fulvio ; Damico, Guglielmo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:518:y:2019:i:c:p:22-29.

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2019Structure of control in financial networks: An application to the Brazilian stock market. (2019). Del-Vecchio, Renata R ; Grassi, Rosanna ; Abreu, Mariana Piaia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:522:y:2019:i:c:p:302-314.

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2019A Generalized Error Distribution Copula-based method for portfolios risk assessment. (2019). Cerqueti, Roy ; Giacalone, Massimiliano ; Panarello, Demetrio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:687-695.

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2019Eliciting Weights of Significance of Criteria for a Monitoring Model of Performance of SMEs for Successful Insolvency Administrator’s Intervention. (2019). Lapinskiene, Giedre ; Kurschus, Ralph ; Podviezko, Askoldas. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:20:p:5667-:d:276337.

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2019Nature of thermodynamics equation of state towards economics equation of state. (2019). Sethapramote, Yuthana ; Gumjudpai, Burin. In: Papers. RePEc:arx:papers:1907.07108.

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2019Coverage Error Optimal Confidence Intervals for Local Polynomial Regression. (2019). Cattaneo, Matias ; Farrell, Max H ; Calonico, Sebastian. In: Papers. RePEc:arx:papers:1808.01398.

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2019Average Density Estimators: Efficiency and Bootstrap Consistency. (2019). Jansson, Michael ; Cattaneo, Matias. In: Papers. RePEc:arx:papers:1904.09372.

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2019The Evaluation of Model Risk for Probability of Default and Expected Loss. (2019). Tiomo, Andre ; Gourieroux, Christian. In: MPRA Paper. RePEc:pra:mprapa:95795.

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2019A Structural Ranking of Economic Complexity. (2019). Schetter, Ulrich. In: CID Working Papers. RePEc:cid:wpfacu:119a.

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2019Efficient Difference-in-Differences Estimation with High-Dimensional Common Trend Confounding. (2019). Zimmert, Michael. In: Papers. RePEc:arx:papers:1809.01643.

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2019Robust Inference Using Inverse Probability Weighting. (2019). Wang, Jingshen ; Ma, Xinwei. In: Papers. RePEc:arx:papers:1810.11397.

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2019The Augmented Synthetic Control Method. (2018). Rothstein, Jesse ; Feller, Avi ; Ben-Michael, Eli. In: Papers. RePEc:arx:papers:1811.04170.

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2019Many Average Partial Effects: with An Application to Text Regression. (2019). CHIANG, HAROLD. In: Papers. RePEc:arx:papers:1812.09397.

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2019Non-Parametric Inference Adaptive to Intrinsic Dimension. (2019). Lewis, Gregory ; Syrgkanis, Vasilis ; Khosravi, Khashayar. In: Papers. RePEc:arx:papers:1901.03719.

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2019Optimized Regression Discontinuity Designs. (2019). Wager, Stefan ; Imbens, Guido. In: The Review of Economics and Statistics. RePEc:tpr:restat:v:101:y:2019:i:2:p:264-278.

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2019An introduction to flexible methods for policy evaluation. (2019). Huber, Martin. In: FSES Working Papers. RePEc:fri:fribow:fribow00504.

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2019Do early-ending conditional cash transfer programs crowd out school enrollment?. (2019). Wiegand, Martin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190053.

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2019An introduction to flexible methods for policy evaluation. (2019). Huber, Martin. In: Papers. RePEc:arx:papers:1910.00641.

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2019Double debiased machine learning nonparametric inference with continuous treatments. (2019). Lee, Ying-Ying ; Colangelo, Kyle. In: CeMMAP working papers. RePEc:ifs:cemmap:54/19.

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2019Heterogeneous impact dynamics of a rural business development program in Nicaragua. (2019). Tjernström, Emilia ; Toledo, Patricia ; Tjernstrom, Emilia ; Carter, Michael R. In: Journal of Development Economics. RePEc:eee:deveco:v:138:y:2019:i:c:p:77-98.

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2019Group Average Treatment Effects for Observational Studies. (2019). Lessmann, Stefan ; Hardle, Wolfgang Karl ; Jacob, Daniel. In: Papers. RePEc:arx:papers:1911.02688.

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2019What Is the Value Added by Using Causal Machine Learning Methods in a Welfare Experiment Evaluation?. (2019). Strittmatter, Anthony. In: Papers. RePEc:arx:papers:1812.06533.

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2019Nonparametric estimation of causal heterogeneity under high-dimensional confounding. (2019). Lechner, Michael ; Zimmert, Michael. In: Papers. RePEc:arx:papers:1908.08779.

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2019Panel data analysis with heterogeneous dynamics. (2019). Okui, Ryo ; Yanagi, Takahide. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:451-475.

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2019What is the Value Added by using Causal Machine Learning Methods in a Welfare Experiment Evaluation?. (2019). Strittmatter, Anthony. In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy. RePEc:zbw:vfsc19:203499.

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2019The impact of age at arrival on education and mental health. (2019). Kuijpers, Sonny ; Kattenberg, Mark ; Gerritsen, Sander. In: CPB Discussion Paper. RePEc:cpb:discus:389.

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2019On the use of machine learning for causal inference in climate economics. (2019). Hovdahl, Isabel. In: Working Papers. RePEc:bny:wpaper:0077.

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2019Varying Random Coefficient Models. (2019). hoderlein, stefan ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1804.03110.

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2019Adaptive estimation in the linear random coefficients model when regressors have limited variation. (2019). Gautier, Eric ; Gaillac, Christophe. In: TSE Working Papers. RePEc:tse:wpaper:123181.

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2019Mobile Phones and Mozambique Farmers: Less Asymmetric Information and More Trader Competition?. (2019). Zant, Wouter. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180055.

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2019Drought in the city: The economic impact of water scarcity in Latin American metropolitan areas. (2019). Rodella, Aude-Sophie ; Desbureaux, Sebastien. In: World Development. RePEc:eee:wdevel:v:114:y:2019:i:c:p:13-27.

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2019The economic impact of universities: Evidence from across the globe. (2019). van Reenen, John ; VanReenen, John ; Valero, Anna. In: Economics of Education Review. RePEc:eee:ecoedu:v:68:y:2019:i:c:p:53-67.

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2019A Nonparametric Dynamic Causal Model for Macroeconometrics. (2019). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

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2019NFL Salary Cap Allocation: Matching Theory with Observed Behavior. (2019). Potts, Todd ; Jeffords, Chris. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00915.

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2019Information Source and Cigarettes: Experimental Evidence on the Messenger Effect. (2019). Maclean, Johanna ; Marti, Joachim ; Buckell, John. In: NBER Working Papers. RePEc:nbr:nberwo:25632.

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2019Peer Diversity, College Performance and Educational Choices. (2019). Isphording, Ingo ; Lisauskaite, Elena ; Chevalier, Arnaud. In: IZA Discussion Papers. RePEc:iza:izadps:dp12202.

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2019Macroeconomic Effects of Debt Relief: Consumer Bankruptcy Protections in the Great Recession. (2019). Goldsmith-Pinkham, Paul ; Auclert, Adrien ; Dobbie, Will. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13598.

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2019Joint culpability: The effects of medical marijuana laws on crime. (2019). Townsend, Wilbur ; Chu, Yu-Wei Luke. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:159:y:2019:i:c:p:502-525.

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2019A free rider problem? The effect of electric vehicles on urban toll prices in Norway. (2019). Krehic, Lana. In: Working Paper Series. RePEc:nst:samfok:17819.

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2019Dispelling Misconceived Beliefs about Rent Control: Insights from a Field and a Laboratory Experiment. (2019). Lopez-Mayan, Cristina ; Panades, Judith ; Busom, Isabel ; Brandts, Jordi. In: Working Papers. RePEc:bge:wpaper:1096.

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2019The introduction of formal insurance and its effect on redistribution. (2019). Marsink, Karlijn ; Anderberg, Dan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7596.

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2019Pecuniary and Non-Pecuniary Motivations for Tax Compliance: Evidence from Pakistan. (2019). Waseem, Mazhar ; Slemrod, Joel ; Ur, Obeid. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7731.

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2019Lower bank capital requirements as a policy tool to support credit to SMEs: evidence from a policy experiment. (2019). Lé, Mathias ; fraisse, henri ; Dietsch, Michel ; Le, Mathias ; Lecarpentier, Sandrine. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-12.

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2019The Effects of Emergency Housing on Wellbeing: Evidence from Argentina’s Informal Settlements. (2019). Marino Fages, Diego ; Maccio, Jimena ; Mitchell, Ann. In: The European Journal of Development Research. RePEc:pal:eurjdr:v:31:y:2019:i:3:d:10.1057_s41287-018-0166-z.

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2019Malpractice risk and medical treatment selection. (2019). Grembi, Veronica ; Bertoli, Paola. In: Journal of Public Economics. RePEc:eee:pubeco:v:174:y:2019:i:c:p:22-35.

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2019Estimating the Determinants of Remittances Originating from U.S. Households using CPS Data. (2019). Sparber, Chad ; Simpson, Nicole. In: IZA Discussion Papers. RePEc:iza:izadps:dp12480.

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2019Child Care Subsidies with One- and Two-Parent Families. (2019). Moschini, Emily. In: 2019 Meeting Papers. RePEc:red:sed019:42.

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2019Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics. (2019). Watugala, Sumudu W ; Tran, Brigitte Roth ; Kruttli, Mathias S. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-54.

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2019The gender of debt and the financialisation of development. Insights from rural southern India. (2019). Nordman, Christophe ; Reboul, Elena ; Guerin, Isabelle. In: Working Papers CEB. RePEc:sol:wpaper:2013/290703.

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2019R&D and firm resilience during bad times. (2019). Gupta, Apoorva. In: Discussion Papers. RePEc:not:notgep:2019-12.

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2019Standard Errors for Panel Data Models with Unknown Clusters. (2019). Bai, Jushan ; Liao, Yuan ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:1910.07406.

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2019The perils of returning to school: New insights into the seasonality of youth suicides. (2019). Heger, Dörte ; Wuckel, Christiane ; Chandler, Vincent. In: Ruhr Economic Papers. RePEc:zbw:rwirep:820.

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2019Delivery in the city: evidence on monopolistic competition from New York restaurants. (2019). Schiff, Nathan ; Cosman, Jacob. In: MPRA Paper. RePEc:pra:mprapa:96617.

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2019Heterogeneous effects of imperfectly enforced minimum wages in low-wage labor markets. (2019). Soundararajan, Vidhya. In: Journal of Development Economics. RePEc:eee:deveco:v:140:y:2019:i:c:p:355-374.

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2019Curse or blessing: Investigating the education and income of firstborns and only boys. (2019). Fujimoto, Junichi ; Meng, Xiangcai. In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:53:y:2019:i:c:3.

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2019The impact of receiving SMS price and weather information on small scale farmers in Colombia. (2019). Conover, Emily ; Camacho, Adriana. In: World Development. RePEc:eee:wdevel:v:123:y:2019:i:c:12.

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2019Clustering and External Validity in Randomized Controlled Trials with Stochastic Potential Outcomes. (2019). de Chaisemartin, Cl'Ement ; Deeb, Antoine. In: Papers. RePEc:arx:papers:1912.01052.

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2019Proportional Representation, Political Responsiveness and Child Mortality. (2019). Gathmann, Christina. In: IZA Discussion Papers. RePEc:iza:izadps:dp12729.

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2019The impact of robots on labour productivity: A panel data approach covering 9 industries and 12 countries. (2019). Pesole, Annarosa ; Jungmittag, Andre. In: JRC Working Papers on Labour, Education and Technology. RePEc:ipt:laedte:201908.

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2019Thou shalt not bear false witness against your customers: Cultural norms and the Volkswagen scandal. (2019). Tonzer, Lena ; Noth, Felix ; Hasan, Iftekhar. In: IWH Discussion Papers. RePEc:zbw:iwhdps:212019.

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2019Incentives dominate selection. (2019). Stadelmann, David ; Eichenberger, Reiner ; Portmann, Marco. In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy. RePEc:zbw:vfsc19:203559.

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2019Aspirations, expectations, identities: behavioral constraints of micro-entrepreneurs. (2019). Batista, Catia ; Seither, Julia. In: NOVAFRICA Working Paper Series. RePEc:unl:novafr:wp1906.

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2019Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations. (2019). Dixon, Matthew ; Cr, St'Ephane . In: Papers. RePEc:arx:papers:1901.11081.

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2019Optimal initial capital induced by the optimized certainty equivalent. (2019). Nishide, Katsumasa ; Asano, Takao ; Arai, Takuji. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:115-125.

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2019Looking through conduit FDI in search of ultimate investors – a probabilistic approach. (2019). Casella, Bruno. In: MPRA Paper. RePEc:pra:mprapa:95188.

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2019The Blurring of Corporate Investor Nationality and Complex Ownership Structures. (2019). Casella, Bruno ; Albrese, Eleonora. In: MPRA Paper. RePEc:pra:mprapa:95202.

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2019Estimating the scale of profit shifting and tax revenue losses related to foreign direct investment. (2019). Palansk, Miroslav ; Jansk, Petr. In: International Tax and Public Finance. RePEc:kap:itaxpf:v:26:y:2019:i:5:d:10.1007_s10797-019-09547-8.

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2019Corruption Risk in Contracting Markets: A Network Science Perspective. (2019). Kert, J'Anos ; Fazekas, Mih'Aly ; Wachs, Johannes. In: Papers. RePEc:arx:papers:1909.08664.

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2019Tax evasion in new disguise? Examining tax havens international bank deposits. (2019). Menkhoff, Lukas ; Miethe, Jakob. In: Journal of Public Economics. RePEc:eee:pubeco:v:176:y:2019:i:c:p:53-78.

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2019Competing with whom? European tax competition, the great fragmentation of the firm, and varieties of FDI attraction profiles. (2019). Reurink, Arjan ; Garcia-Bernardo, Javier . In: MPIfG Discussion Paper. RePEc:zbw:mpifgd:199.

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2019Probabilistic forecasting and simulation of electricity prices. (2018). Ziel, Florian ; Muniain, Peru. In: Papers. RePEc:arx:papers:1810.08418.

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2019Econometric modelling and forecasting of intraday electricity prices. (2019). Ziel, Florian ; Narajewski, Michal. In: Papers. RePEc:arx:papers:1812.09081.

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2019Electricity Price Forecasting in the Danish Day-Ahead Market Using the TBATS, ANN and ARIMA Methods. (2019). Xydis, George ; Karabiber, Orhan Altu. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:5:p:928-:d:212606.

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2019Multi-Output Conditional Inference Trees Applied to the Electricity Market: Variable Importance Analysis. (2019). Dfuf, Ismael Ahrazem ; Gonzalez, Maria Camino ; Mira, Jose Manuel. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:6:p:1097-:d:215955.

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2019Machine Learning on EPEX Order Books: Insights and Forecasts. (2019). Wagner, Andreas ; Schnurch, Simon. In: Papers. RePEc:arx:papers:1906.06248.

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2019Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting. (2019). Weron, Rafał ; Uniejewski, Bartosz ; Serafin, Tomasz. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:13:p:2561-:d:245313.

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2019Renewable generation forecast studies – Review and good practice guidance. (2019). Stadtmann, Georg ; Croonenbroeck, Carsten. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:108:y:2019:i:c:p:312-322.

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2019Multivariate Forecasting Evaluation: On Sensitive and Strictly Proper Scoring Rules. (2019). Ziel, Florian ; Berk, Kevin. In: Papers. RePEc:arx:papers:1910.07325.

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2019On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting. (2019). Weron, Rafał ; Marcjasz, Grzegorz ; Uniejewski, Bartosz. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:171-182.

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2019Stochastic asset price dynamics and volatility using a symmetric supply and demand price equation. (2019). Caginalp, Gunduz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:807-824.

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2019Long-term unemployment and subsidies for permanent employment. (2019). Grompone, Adele ; Olivieri, Elisabetta ; Ciani, Emanuele. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1249_19.

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2019At the Mercy of the Common Noise: Blow-ups in a Conditional McKean--Vlasov Problem. (2019). Sojmark, Andreas ; Ledger, Sean. In: Papers. RePEc:arx:papers:1807.05126.

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2019Network effects in default clustering for large systems. (2019). Yang, Jia ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1812.07645.

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2019Trading Strategies Generated Pathwise by Functions of Market Weights. (2019). Kim, Donghan ; Karatzas, Ioannis. In: Papers. RePEc:arx:papers:1809.10123.

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2019Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution. (2019). Lewis, Alan L. In: Papers. RePEc:arx:papers:1809.08635.

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2019Bessel-like birth-death process. (2019). Kononovicius, Aleksejus ; Gontis, Vygintas. In: Papers. RePEc:arx:papers:1904.13064.

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2019The Leland-Toft optimal capital structure model under Poisson observations. (2019). Yamazaki, Kazutoshi ; Surya, Budhi Arta ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1904.03356.

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2019FinTech and the future of financial services: What are the research gaps?. (2019). , Alistairmilne ; Milne, Alistair ; Kavuri, Anil Savio. In: CAMA Working Papers. RePEc:een:camaaa:2019-18.

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2019Criptoactivos: análisis y revisión de literatura. (2019). Parra-Polanía, Julián ; León, Carlos ; Gomez-Gonzalez, Jose ; Gómez-Pineda, Javier ; Yanquen, Eduardo ; Suarez, Nicolas ; Rojas, Daniel ; Osorio, Daniel ; Machado, Clara ; Bernal, Joaquin ; Arango, Carlos . In: Revista ESPE - Ensayos sobre Política Económica. RePEc:bdr:ensayo:y:2019:i:92:p:1-37.

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2019Criptoactivos: análisis y revisión de literatura. (2019). Parra-Polanía, Julián ; León, Carlos ; Gómez-Pineda, Javier ; suarez -Eduardo, Nicolas ; osorio -Daniel, Daniel ; leon -Clara, Carlos ; gomez -Javier, Jose E ; arango -Joaquin, Carlos. In: Revista ESPE - Ensayos Sobre Política Económica. RePEc:col:000107:017629.

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2019Regression Based Expected Shortfall Backtesting. (2019). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1801.04112.

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2019Quantile smoothing in supply chain and logistics forecasting. (2019). Bruzda, Joanna . In: International Journal of Production Economics. RePEc:eee:proeco:v:208:y:2019:i:c:p:122-139.

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2019Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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2019Option Pricing in a Regime Switching Jump Diffusion Model. (2019). , Anjana ; Manjarekar, Omkar ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1811.11379.

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2019Equilibrium Asset Pricing with Transaction Costs. (2019). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1901.10989.

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2019Asset Pricing with General Transaction Costs: Theory and Numerics. (2019). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Gonon, Lukas. In: Papers. RePEc:arx:papers:1905.05027.

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2019Asset Pricing with Heterogeneous Beliefs and Illiquidity. (2019). Tan, Xiaowei ; Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1905.05730.

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2019Dynamic portfolio choice with return predictability and transaction costs. (2019). Siu, Chi Chung ; Ma, Guiyuan ; Zhu, Song-Ping. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:976-988.

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2019Resolving asset pricing puzzles with price impact. (2019). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk ; Chen, Xiao. In: Papers. RePEc:arx:papers:1910.02466.

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2019Pathwise superhedging on prediction sets. (2019). Neufeld, Ariel ; Kupper, Michael ; Bartl, Daniel. In: Papers. RePEc:arx:papers:1711.02764.

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2019Exact Testing of Many Moment Inequalities Against Multiple Violations. (2019). Bekker, Paul ; Koning, Nick. In: Papers. RePEc:arx:papers:1904.12775.

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2019Econometrics with Partial Identification. (2019). Molinari, Francesca. In: CeMMAP working papers. RePEc:ifs:cemmap:25/19.

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2019Bitcoin return: Impacts from the introduction of new altcoins. (2019). Nguyen, Quang Quoc ; Vu, Thai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:420-425.

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2019Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks. (2019). Darn, Olivier ; Charles, Amlie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00117.

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2019Herding in the cryptocurrency market: CSSD and CSAD approaches. (2019). Farinos, Jose E ; Ibaez, Ana M ; Vidal-Tomas, David. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:181-186.

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2019Volatility co-movement between Bitcoin and Ether. (2019). Katsiampa, Paraskevi. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:221-227.

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2019Portfolio optimisation under rough Heston models. (2019). Duthie, Benjamin James. In: Papers. RePEc:arx:papers:1909.02972.

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2019Shorting in Speculative Markets. (2019). Scheinkman, Jose ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1705.05882.

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2019Order book model with herd behavior exhibiting long-range memory. (2019). Ruseckas, Julius ; Kononovicius, Aleksejus. In: Papers. RePEc:arx:papers:1809.02772.

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2019Order book model with herd behavior exhibiting long-range memory. (2019). Ruseckas, Julius ; Kononovicius, Aleksejus. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:171-191.

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2019The Economic Complexity of US Metropolitan Areas. (2019). Manduca, Robert A. In: Papers. RePEc:arx:papers:1901.08112.

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2019Economic diversification: A model of structural economic dynamics and endogenous technological change. (2019). Freire, Clovis. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:49:y:2019:i:c:p:13-28.

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2019On the bail-out dividend problem for spectrally negative Markov additive models. (2019). Yu, Xiang ; Jos'e-Luis P'erez, ; Noba, Kei. In: Papers. RePEc:arx:papers:1901.03021.

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2019Optimal Dividend Strategy for An Insurance Group with Contagious Default Risk. (2019). Yu, Xiang ; Yang, Yue ; Liao, Huafu ; Jin, Zhuo. In: Papers. RePEc:arx:papers:1909.09511.

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2019Linear Credit Risk Models. (2018). Ackerer, Damien ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07419.

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2019A general framework for time-changed Markov processes and applications. (2019). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:785-800.

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2019Markov cubature rules for polynomial processes. (2019). Pulido, Sergio ; Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1707.06849.

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2019Correlators of Polynomial Processes. (2019). Lavagnini, Silvia ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:1906.11320.

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2019A lognormal type stochastic volatility model with quadratic drift. (2019). Willems, Sander ; Carr, Peter. In: Papers. RePEc:arx:papers:1908.07417.

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2019A multi-factor polynomial framework for long-term electricity forwards with delivery period. (2019). Regez, Markus ; Larsson, Martin ; Komaric, Vlatka ; Kleisinger-Yu, XI. In: Papers. RePEc:arx:papers:1908.08954.

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2019Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing. (2019). Glau, Kathrin ; Nakatsukasa, Yuji ; Filipovi, Damir ; Statti, Francesco. In: Papers. RePEc:arx:papers:1910.07241.

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2019Extracting significant signal of news consumption from social networks: the case of Twitter in Italian political elections. (2019). Saracco, Fabio ; Lambiotte, Renaud ; Caldarelli, Guido ; Becatti, Carolina. In: Palgrave Communications. RePEc:pal:palcom:v:5:y:2019:i:1:d:10.1057_s41599-019-0300-3.

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2019Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40.

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2019Tests for the weights of the global minimum variance portfolio in a high-dimensional setting. (2019). Parolya, Nestor ; Schmid, Wolfgang ; Dmytriv, Solomiia ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1710.09587.

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2019Optimal shrinkage estimator for high-dimensional mean vector. (2019). Parolya, Nestor ; Okhrin, Ostap ; Bodnar, Taras. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:170:y:2019:i:c:p:63-79.

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2019Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Thors, Erik ; Parolya, Nestor ; Dette, Holger ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1908.04243.

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2019Duality for pathwise superhedging in continuous time. (2019). Tangpi, Ludovic ; Promel, David J ; Kupper, Michael ; Bartl, Daniel. In: Papers. RePEc:arx:papers:1705.02933.

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2019Extremal properties of the Theil and Gini measures of inequality. (2019). Oancea, Bogdan ; Pirjol, Dan. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:53:y:2019:i:2:d:10.1007_s11135-018-0792-8.

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2019Ripples on financial networks. (2019). Chakrabarti, Anindya S ; Bansal, Avijit ; Kumar, Sudarshan. In: IIMA Working Papers. RePEc:iim:iimawp:14613.

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2019Price informativeness and adaptive trading. (2019). Chen, Haiqiang ; Zheng, Huanhuan. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:29:y:2019:i:4:d:10.1007_s00191-018-0586-0.

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2019Do information contagion and business model similarities explain bank credit risk commonalities?. (2019). Schaumburg, Julia ; Lelyveld, Iman ; van Lelyveld, Iman ; Wang, Dieter. In: ESRB Working Paper Series. RePEc:srk:srkwps:201994.

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2019The emergence of critical stocks in market crash. (2019). Wang, Huiwen ; Zhao, Jichang ; Lu, Shan. In: Papers. RePEc:arx:papers:1908.07244.

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2019Lifting the Heston model. (2019). Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-01890751.

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2019Markovian structure of the Volterra Heston model. (2019). el Euch, Omar ; Jaber, Eduardo Abi. In: Statistics & Probability Letters. RePEc:eee:stapro:v:149:y:2019:i:c:p:63-72.

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2019Deep Reinforcement Learning in Cryptocurrency Market Making. (2019). Sadighian, Jonathan. In: Papers. RePEc:arx:papers:1911.08647.

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2019Endogenous Liquidity Crises. (2019). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Papers. RePEc:arx:papers:1912.00359.

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2019Permutation inference with a finite number of heterogeneous clusters. (2019). Hagemann, Andreas. In: Papers. RePEc:arx:papers:1907.01049.

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2019Predictive Regressions. (2019). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:28554.

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2019A Note on Universal Bilinear Portfolios. (2019). Garivaltis, Alexander. In: Papers. RePEc:arx:papers:1907.09704.

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2019The impact of proportional transaction costs on systematically generated portfolios. (2019). Xie, Kangjianan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1904.08925.

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2019Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria. (2019). Ferrari, Giorgio ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:605.

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2019ChainNet: Learning on Blockchain Graphs with Topological Features. (2019). Thuraisingham, Bhavani ; Tian, Yahui ; Kantarcioglu, Murat ; Islambekov, Umar D ; Gel, Yulia R ; Akcora, Cuneyt Gurcan ; Abay, Nazmiye Ceren. In: Papers. RePEc:arx:papers:1908.06971.

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2019Moving Towards a Better Future? Migration and Childrens Health and Education. (2019). Cockx, Lara. In: LICOS Discussion Papers. RePEc:lic:licosd:41119.

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2019Nonparametric pricing and hedging of exotic derivatives. (2019). Arribas, Imanol Perez ; Nejad, Sina ; Lyons, Terry. In: Papers. RePEc:arx:papers:1905.00711.

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2019Homothetic preferences revealed. (2019). Hjertstrand, Per ; Heufer, Jan. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:602-614.

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2019Deep Q-Learning for Nash Equilibria: Nash-DQN. (2019). Jaimungal, Sebastian ; Ning, Brian ; Casgrain, Philippe. In: Papers. RePEc:arx:papers:1904.10554.

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2019Latency and Liquidity Risk. (2019). , Leandro ; Jaimungal, Sebastian ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:1908.03281.

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2019A two-player price impact game. (2019). Voss, Moritz . In: Papers. RePEc:arx:papers:1911.05122.

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2019Do Chinese Internet Users Exist Heterogeneity in Search Behavior?. (2019). Li, Qian ; Liu, Shi-Yuan ; Han, Ren-Jie. In: Papers. RePEc:arx:papers:1911.00715.

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2019Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019. (2019). Ozbayoglu, Ahmet Murat ; Gudelek, Mehmet Ugur ; Sezer, Omer Berat. In: Papers. RePEc:arx:papers:1911.13288.

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2019How the investors risk preferences influence the optimal allocation in a credibilistic portfolio problem. (2019). Georgescu, Irina ; Kinnunen, Jani. In: Papers. RePEc:arx:papers:1901.08986.

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2019A portfolio choice problem in the framework of expected utility operators. (2019). Georgescu, Irina ; Aim, Louis. In: Papers. RePEc:arx:papers:1906.11831.

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2019The cost performance of transportation projects: The fallacy of the Planning Fallacy account. (2019). Ika, Lavagnon A ; PEter, ; Newton, Sidney. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:122:y:2019:i:c:p:1-20.

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2019Local detrended cross-correlation analysis for non-stationary time series. (2019). Zhai, Lu-Sheng ; Liu, Ruo-Yu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:222-233.

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2019Volatility options in rough volatility models. (2019). Tankov, Peter ; Jacquier, Antoine ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1802.01641.

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2019Affine Rough Models. (2019). Pulido, Sergio ; Larsson, Martin ; Keller-Ressel, Martin. In: Working Papers. RePEc:hal:wpaper:hal-02265210.

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2019Affine term structure models : a time-changed approach with perfect fit to market curves. (2019). Fr'ed'eric Vrins, ; Mbaye, Cheikh. In: Papers. RePEc:arx:papers:1903.04211.

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2019Engels law in the commodity composition of exports. (2019). Lee, Deok-Sun ; Choi, Sung-Gook. In: Papers. RePEc:arx:papers:1911.01568.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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2019From point through density valuation to individual risk assessment in the discounted cash flows method. (2019). Dec, Marcin. In: GRAPE Working Papers. RePEc:fme:wpaper:35.

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2019Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables. (2019). Georgiadis, Georgios ; Chudik, Alexander. In: Globalization Institute Working Papers. RePEc:fip:feddgw:356.

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2019Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables. (2019). Georgiadis, Georgios ; Chudik, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20192307.

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2019High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge. In: Papers. RePEc:arx:papers:1901.09309.

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2019Optimal multi-asset trading with linear costs: a mean-field approach. (2019). Bouchaud, Jean-Philippe ; Petit, Benjamin ; Emschwiller, Matt. In: Papers. RePEc:arx:papers:1905.04821.

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2019Optimum thresholding using mean and conditional mean squared error. (2019). Figueroa-Lopez, Jose E ; Mancini, Cecilia . In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:179-210.

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2019Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise. (2019). Kuffner, Todd ; Jos'e E. Figueroa-L'opez, ; Wang, QI. In: Papers. RePEc:arx:papers:1909.04853.

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2019Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372.

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2019Wikipedia and Digital Currencies: Interplay Between Collective Attention and Market Performance. (2019). Baronchelli, Andrea ; Alessandretti, Laura ; Elbahrawy, Abeer. In: Papers. RePEc:arx:papers:1902.04517.

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2019Cryptoeconomics: Pilot Study on Investments in ICO Startups Using Neural Networks. (2019). Vlasov, Andrey V ; Kozlov, Andrey A. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:190107:p:76-87.

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2019A Model of the Optimal Selection of Crypto Assets. (2019). Kirilenko, Andrei ; Bartolucci, Silvia. In: Papers. RePEc:arx:papers:1906.09632.

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2019Sensitivity Analysis using Approximate Moment Condition Models. (2019). Koles, Michal ; Armstrong, Timothy B. In: Papers. RePEc:arx:papers:1808.07387.

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2019Sensitivity Analysis using Approximate Moment Condition Models. (2019). Kolesar, Michal ; Armstrong, Timothy B. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2158r.

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2019Transportation cost inequality for backward stochastic differential equations. (2019). Mouchtabih, Soufiane ; Boufoussi, Brahim ; Bahlali, Khaled. In: Statistics & Probability Letters. RePEc:eee:stapro:v:155:y:2019:i:c:1.

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2019Shift-Share Designs: Theory and Inference. (2019). Morales, Eduardo ; Koles, Michal ; Adao, Rodrigo. In: Papers. RePEc:arx:papers:1806.07928.

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2019Trade and credit: revisiting the evidence. (2019). Moral-Benito, Enrique ; Gutierrez, Eduardo. In: Working Papers. RePEc:bde:wpaper:1901.

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2019From Immigrants to Americans: Race and Assimilation during the Great Migration. (2019). Tabellini, Marco ; Mazumder, Soumyajit ; Fouka, Vasiliki. In: Development Working Papers. RePEc:csl:devewp:445.

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2019How Responsive are Wages to Demand within the Firm? Evidence from Idiosyncratic Export Demand Shocks. (2019). Garin, Andrew ; Silverio, Filipe. In: Working Papers. RePEc:ptu:wpaper:w201902.

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2019How does for-profit college attendance affect student loans, defaults and labor market outcomes?. (2019). Lovenheim, Michael ; Chakrabarti, Rajashri ; Armona, Luis. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7561.

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2019Stalled Racial Progress and Japanese Trade in the 1970s and 1980s. (2019). Bond, Timothy ; Batistich, Mary Kate. In: IZA Discussion Papers. RePEc:iza:izadps:dp12133.

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2019Estimating Who Benefits from Productivity Growth: Direct and Indirect Effects of City Manufacturing TFP Growth on Wages, Rents, and Inequality. (2019). moretti, enrico ; Hornbeck, Richard. In: IZA Discussion Papers. RePEc:iza:izadps:dp12277.

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2019Trade and Worker Deskilling. (2019). Machin, Stephen ; Costa, Rui ; Dhingra, Swati. In: IZA Discussion Papers. RePEc:iza:izadps:dp12380.

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2019Trade and Worker Deskilling. (2019). Machin, Stephen ; Costa, Rui ; Dhingra, Swati. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13768.

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2019Trade and Worker Deskilling. (2019). Machin, Stephen ; Costa, Rui ; Dhingra, Swati. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1622.

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2019The Amplifying Effect of Capitalization Rates on Housing Supply. (2019). Ehrlich, Maximilian V. In: Diskussionsschriften. RePEc:rdv:wpaper:credresearchpaper24.

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2019Trade Exposure and the Decline in Collective Bargaining: Evidence From Germany. (2019). Baumgarten, Daniel ; Lehwald, Sybille. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:165.

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2019US exports and employment. (2019). Ma, Hong ; Xu, Yuan ; Feenstra, Robert C. In: Journal of International Economics. RePEc:eee:inecon:v:120:y:2019:i:c:p:46-58.

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2019Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure. (2019). Devi, Sandhya. In: Papers. RePEc:arx:papers:1901.04945.

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2019Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality. (2019). Manziuk, Iuliia ; Gu, Olivier. In: Papers. RePEc:arx:papers:1910.13205.

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2019Mid-price estimation for European corporate bonds: a particle filtering approach. (2019). Pu, Jiang ; Gu, Olivier. In: Papers. RePEc:arx:papers:1810.05884.

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2019Optimal market making under partial information with general intensities. (2019). Campi, Luciano ; Zabaljauregui, Diego. In: Papers. RePEc:arx:papers:1902.01157.

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2019Developing bid-ask probabilities for high-frequency trading. (2019). Ingber, Lester. In: Lester Ingber Papers. RePEc:lei:ingber:19db.

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2019Optimal Bookmaking. (2019). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1907.01056.

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2019Size matters for OTC market makers: viscosity approach and dimensionality reduction technique. (2019). Gu, Olivier ; Bergault, Philippe. In: Papers. RePEc:arx:papers:1907.01225.

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2019Algorithmic market making: the case of equity derivatives. (2019). Gu, Olivier ; Bergault, Philippe ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:1907.12433.

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2019Reinforcement Learning for Market Making in a Multi-agent Dealer Market. (2019). Veloso, Manuela ; Reddy, Prashant ; Zheng, Hua ; Xu, Mengda ; Vadori, Nelson ; Ganesh, Sumitra . In: Papers. RePEc:arx:papers:1911.05892.

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2019Binary Choice Models with High-Dimensional Individual and Time Fixed Effects. (2019). Stammann, Amrei ; Czarnowske, Daniel. In: Papers. RePEc:arx:papers:1904.04217.

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2019Persistent zeros: The extensive margin of trade. (2019). Wanner, Joschka ; Hinz, Julian ; Stammann, Amrei. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2139.

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2019Nonlinear factor models for network and panel data. (2019). Fernandez-Val, Ivan ; Weidner, Martin ; Chen, Mingli. In: CeMMAP working papers. RePEc:ifs:cemmap:18/19.

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2019Multimodal Deep Learning for Finance: Integrating and Forecasting International Stock Markets. (2019). Yoo, Seong Joon ; Il, Sang. In: Papers. RePEc:arx:papers:1903.06478.

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2019Stacked Monte Carlo for option pricing. (2019). Oumgari, Mugad ; Malone, Emma R ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1903.10795.

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2019On deep calibration of (rough) stochastic volatility models. (2019). Tomas, Mehdi ; Stemper, Benjamin ; Muguruza, Aitor ; Horvath, Blanka ; Bayer, Christian. In: Papers. RePEc:arx:papers:1908.08806.

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2019Neural networks for option pricing and hedging: a literature review. (2019). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1911.05620.

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2019The few-get-richer: a surprising consequence of popularity-based rankings. (2019). Germano, Fabrizio ; le Mens, Gael ; Gomez, Vicen. In: Economics Working Papers. RePEc:upf:upfgen:1636.

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2019The Few-Get-Richer: A Surprising Consequence of Popularity-Based Rankings. (2019). Germano, Fabrizio ; le Mens, Gael ; Gomez, Vicen. In: Working Papers. RePEc:bge:wpaper:1073.

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2019Remarks on stochastic automatic adjoint differentiation and financial models calibration. (2019). Lakshtanov, Evgeny ; Goloubentcev, Dmitri. In: Papers. RePEc:arx:papers:1901.04200.

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2019Productivity propagation with networks transformation. (2019). Nishimura, Kazuhiko ; Nakano, Satoshi. In: Papers. RePEc:arx:papers:1909.09641.

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2019On moments of integral exponential functionals of additive processes. (2019). Vostrikova, Lioudmila ; Salminen, Paavo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:139-146.

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2019Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate. (2019). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:1903.00369.

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2019High-order compact finite difference scheme for option pricing in stochastic volatility jump models. (2019). Pitkin, Alexander ; During, Bertram. In: Papers. RePEc:arx:papers:1704.05308.

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2019Systemic Risk and Heterogeneous Mean Field Type Interbank Network. (2019). Sun, Li-Hsien. In: Papers. RePEc:arx:papers:1907.03082.

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2019Network and Agent Dynamics with Evolving Protection against Systemic Risk. (2019). Park, Chulwook. In: Papers. RePEc:arx:papers:1907.11622.

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2019A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249.

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2019Slow decay of impact in equity markets: insights from the ANcerno database. (2019). Bouchaud, Jean-Philippe ; Lillo, Fabrizio ; Benzaquen, Michael ; Fr'ed'eric Bucci, . In: Papers. RePEc:arx:papers:1901.05332.

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2019Slow Decay of Impact in Equity Markets: Insights from the ANcerno Database. (2019). Bouchaud, Jean-Philippe ; Lillo, Fabrizio ; Benzaquen, Michael ; Bucci, Frederic. In: Post-Print. RePEc:hal:journl:hal-02323357.

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2019Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data. (2019). Stenfors, Alexis ; Susai, Masayuki. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:36-57.

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2019Multiperiod Martingale Transport. (2019). Tan, Xiaowei ; Stebegg, Florian ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1703.10588.

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2019Zero-Sum Markov Games with Random State-Actions-Dependent Discount Factors: Existence of Optimal Strategies. (2019). Minjarez-Sosa, Adolfo J ; Luque-Vasquez, Fernando ; Gonzalez-Sanchez, David . In: Dynamic Games and Applications. RePEc:spr:dyngam:v:9:y:2019:i:1:d:10.1007_s13235-018-0248-8.

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2019Dynamic games with (almost) perfect information. (2019). Sun, Yeneng ; He, Wei. In: Theoretical Economics. RePEc:the:publsh:2927.

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2019Capital Regulation under Price Impacts and Dynamic Financial Contagion. (2019). Feinstein, Zachary. In: Papers. RePEc:arx:papers:1807.02711.

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2019No-arbitrage with multiple-priors in discrete time. (2019). Carassus, Laurence ; Blanchard, Romain. In: Papers. RePEc:arx:papers:1904.08780.

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2019Asymptotic properties of the maximum likelihood estimator in regime switching econometric models. (2019). Kasahara, Hiroyuki ; Shimotsu, Katsumi. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:442-467.

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2019Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads. (2019). Shaw, Charles. In: MPRA Paper. RePEc:pra:mprapa:94154.

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2019Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing. (2019). Statti, Francesco ; Kressner, Daniel ; Glau, Kathrin. In: Papers. RePEc:arx:papers:1902.04367.

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2019Geometrically Convergent Simulation of the Extrema of L\{e}vy Processes. (2019). Bravo, Ger'Onimo Uribe ; Mijatovi, Aleksandar ; Gonz, Jorge. In: Papers. RePEc:arx:papers:1810.11039.

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2019Dual representations for systemic risk measures. (2016). Rudloff, Birgit ; Ararat, Ccaugin. In: Papers. RePEc:arx:papers:1607.03430.

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2019Termination Fees and Contract Design in Public-Private Partnerships. (2019). moretto, michele ; Dosi, Cesare ; Buso, Marco. In: ET: Economic Theory. RePEc:ags:feemth:281284.

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2019On the martingale property in the rough Bergomi model. (2019). Gassiat, Paul. In: Papers. RePEc:arx:papers:1811.10935.

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2019Moment explosions in the rough Heston model. (2019). Pinter, Arpad ; Gerstenecker, Christoph ; Gerhold, Stefan. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00267-6.

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2019Functional central limit theorems for rough volatility. (2019). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078.

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2019Stability of martingale optimal transport and weak optimal transport. (2019). Pammer, Gudmund ; Backhoff-Veraguas, Julio. In: Papers. RePEc:arx:papers:1904.04171.

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2019An Optimal Dividend Problem with Capital Injections over a Finite Horizon. (2019). Schuhmann, Patrick ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1804.04870.

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2019Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. (2019). de Angelis, Tiziano. In: Papers. RePEc:arx:papers:1805.12035.

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2019On the free boundary of an annuity purchase. (2019). Angelis, Tiziano ; Stabile, Gabriele. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:1:d:10.1007_s00780-018-00379-8.

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2019Optimal stopping for the exponential of a Brownian bridge. (2019). Milazzo, Alessandro ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:1904.00075.

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2019Total positivity and the classification of term structure shapes in the two-factor Vasicek model. (2019). Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:1908.04667.

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2019Orthogonal Statistical Learning. (2019). Syrgkanis, Vasilis ; Foster, Dylan J. In: Papers. RePEc:arx:papers:1901.09036.

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2019An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls. (2019). Wüthrich, Kaspar ; Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1712.09089.

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2019Synthetic learner: model-free inference on treatments over time. (2019). Bradic, Jelena ; Viviano, Davide. In: Papers. RePEc:arx:papers:1904.01490.

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2019Inference for heterogeneous effects using low-rank estimations. (2019). Zhu, Yinchu ; Liao, Yuan ; Hansen, Christian ; Chernozhukov, Victor. In: CeMMAP working papers. RePEc:ifs:cemmap:31/19.

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2019Price equations with symmetric supply/demand; implications for fat tails. (2019). Caginalp, Carey. In: Papers. RePEc:arx:papers:1904.00267.

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2019Price equations with symmetric supply/demand; implications for fat tails. (2019). Caginalp, Carey. In: Economics Letters. RePEc:eee:ecolet:v:176:y:2019:i:c:p:79-82.

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2019Stochastic Price Dynamics Equations Via Supply and Demand; Implications for Volatility and Risk. (2019). Caginalp, Gunduz. In: Papers. RePEc:arx:papers:1908.01103.

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2019A deterministic behaviour for realistic price dynamics. (2019). Morvan, Remi ; Mathieu, Philippe. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:33-49.

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2019Forecasting cryptocurrencies under model and parameter instability. (2019). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:485-501.

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2019Comparing the forecasting of cryptocurrencies by Bayesian time-varying volatility models. (2019). Rossini, Luca ; Bohte, Rick. In: Papers. RePEc:arx:papers:1909.06599.

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2019A credit cycle model with market sentiments. (2019). Zoerner, Thomas ; Gardini, Laura ; Commendatore, Pasquale ; Zorner, Thomas O ; Kubin, Ingrid. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:50:y:2019:i:c:p:159-174.

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2019A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2019The impact of PVs and EVs on domestic electricity network charges: A case study from Great Britain. (2019). Pollitt, Michael ; Kufeolu, Sinan. In: Energy Policy. RePEc:eee:enepol:v:127:y:2019:i:c:p:412-424.

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2019Losing by learning? A study of social trading platform. (2019). Huang, Ying Sophie ; Zhu, YU ; Jin, Xuejun. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:171-179.

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2019Family presence, family firm reputation and perceived financial performance: Empirical evidence from the Philippines. (2019). Manalac, Ma Theresa ; Pandey, Shweta ; Santiago, Andrea . In: Journal of Family Business Strategy. RePEc:eee:fambus:v:10:y:2019:i:1:p:49-56.

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2019The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969.

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2019Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model. (2019). Zhang, Chengke ; Cao, Ming ; Zhu, Huainian. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:280-291.

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2019Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework. (2019). Shen, Yang ; Chen, LV. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:120-137.

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2019Efficiency loss of asymptotically efficient tests in an instrumental variables regression. (2019). Moreira, Marcelo ; Ridder, Geert. In: CeMMAP working papers. RePEc:ifs:cemmap:03/19.

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2019Tracking VIX with VIX Futures: Portfolio Construction and Performance. (2019). Leung, Tim ; Ward, Brian. In: Papers. RePEc:arx:papers:1907.00293.

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2019Nash equilibrium for risk-averse investors in a market impact game with transient price impact. (2019). Schied, Alexander ; Luo, Xiangge. In: Papers. RePEc:arx:papers:1807.03813.

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2019The effects of markets, uncertainty and search intensity on bitcoin returns. (2019). Stengos, Thanasis ; Panagiotidis, Theodore ; Vravosinos, Orestis. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:220-242.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:289-337.

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2019Branching Particle Pricers with Heston Examples. (2019). MacKay, Anne ; Kouritzin, Michael A. In: Papers. RePEc:arx:papers:1907.00219.

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2019Statistical arbitrage of coherent risk measures. (2019). Brigo, Damiano ; Armstrong, John. In: Papers. RePEc:arx:papers:1902.10015.

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2019Conditional nonlinear expectations. (2019). Bartl, Daniel. In: Papers. RePEc:arx:papers:1612.09103.

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2019Computational aspects of robust optimized certainty equivalents and option pricing. (2019). Tangpi, Ludovic ; Drapeau, Samuel ; Bartl, Daniel. In: Papers. RePEc:arx:papers:1706.10186.

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2019Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty. (2019). Sikic, Mario ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:1711.03875.

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2019Optimal investment and consumption with forward preferences and uncertain parameters. (2019). Liang, Gechun ; Chong, Wing Fung. In: Papers. RePEc:arx:papers:1807.01186.

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2019Lifetime Ruin Problem Under High-watermark Fees and Drift Uncertainty. (2019). Zhou, Chao ; Yu, Xiang ; Lee, Junbeom. In: Papers. RePEc:arx:papers:1909.01121.

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2019Nonconcave robust optimization with discrete strategies under Knightian uncertainty. (2019). Iki, Mario ; Neufeld, Ariel. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:90:y:2019:i:2:d:10.1007_s00186-019-00669-7.

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2019Optimal Dynamic Basis Trading. (2019). Leung, Tim ; Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1809.05961.

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2019Optimal execution with dynamic risk adjustment. (2019). Wang, Tai-Ho ; di Giacinto, Marina ; Cheng, Xue. In: Papers. RePEc:arx:papers:1901.00617.

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2019Optimal dynamic basis trading. (2019). Leung, Tim ; Angoshtari, Bahman . In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-019-00348-x.

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2019Arbitrage-free modeling under Knightian Uncertainty. (2019). Maggis, Marco ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1909.04602.

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2019Is Volatility Rough ?. (2019). Westphal, Rebecca ; Takabatake, Tetsuya ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:1905.04852.

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2019Strong convergence rates for Markovian representations of fractional Brownian motion. (2019). Harms, Philipp. In: Papers. RePEc:arx:papers:1902.01471.

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2019Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model. (2019). Tempone, Raul ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:1812.08533.

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2019On the quasi-sure superhedging duality with frictions. (2019). Bayraktar, Erhan ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1809.07516.

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2019Feature Engineering for Mid-Price Prediction with Deep Learning. (2019). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Mirone, Giorgio ; Ntakaris, Adamantios. In: Papers. RePEc:arx:papers:1904.05384.

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2019New fat-tail normality test based on conditional second moments with applications to finance. (2019). Pitera, Marcin ; Jelito, Damian. In: Papers. RePEc:arx:papers:1811.05464.

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2019Healthy... Distress... Default. (2019). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1910.08531.

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2019A maximum entropy network reconstruction of macroeconomic models. (2019). Hazan, Aurelien. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:519:y:2019:i:c:p:1-17.

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2019Discretisation and duality of optimal Skorokhod embedding problems. (2019). , Alexander ; Alexander, ; Kinsley, Sam M. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:7:p:2376-2405.

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2019Weekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from the Chinese stock market. (2019). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1910.13115.

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2019Cross-shareholding networks and stock price synchronicity: Evidence from China. (2019). Zhou, Wei-Xing ; Yuan, Yujie ; Wen, Fenghua. In: Papers. RePEc:arx:papers:1903.01655.

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2019A method to get a more stationary process and its application in finance with high-frequency data of Chinese index futures. (2019). Chen, Jing-Chao ; Bao, SI ; Li, Long ; Jiang, Tao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:1405-1417.

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2019Trading as sharp movements in oil prices and technical trading signals emitted with big data concerns. (2019). Huang, Paoyu ; Ni, Yensen ; Day, Min-Yuh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:349-372.

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2019Optimal loss-carry-forward taxation for L\{e}vy risk processes stopped at general draw-down time. (2019). Zhang, Zhimin ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:1904.08029.

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2019Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs. (2019). Takahashi, Masayuki ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:1710.07030.

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2019Measuring of The Goods and Labor Markets Efficiency: Comparative Study of Western Balkan Countries. (2019). Vladusic, Ljubisa ; Kostic, Zorana ; Mastilo, Zoran ; Radukic, Snezana . In: Montenegrin Journal of Economics. RePEc:mje:mjejnl:v:15:y:2019:i:2:95-109.

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2019A MEAN FIELD GAME OF PORTFOLIO TRADING AND ITS CONSEQUENCES ON PERCEIVED CORRELATIONS. (2019). Mouzouni, Charafeddine ; Lehalle, Charles-Albert. In: Working Papers. RePEc:hal:wpaper:hal-02003143.

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2019A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations. (2019). Mouzouni, Charafeddine ; Lehalle, Charles-Albert. In: Papers. RePEc:arx:papers:1902.09606.

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2019Optimal execution with rough path signatures. (2019). Arribas, Imanol Perez ; Lyons, Terry ; Kalsi, Jasdeep. In: Papers. RePEc:arx:papers:1905.00728.

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2019The Multivariate Kyle model: More is different. (2019). J.-P. Bouchaud, ; J. -P. Bouchaud, ; Benzaquen, Michael ; Mastromatteo, I ; Garcia, L C. In: Working Papers. RePEc:hal:wpaper:hal-02323433.

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2019Multi-factor approximation of rough volatility models. (2019). el Euch, Omar ; Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-01697117.

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2019Markovian structure of the Volterra Heston model. (2019). el Euch, Omar ; Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-01716696.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:1-2019.

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2019Optimal Reduction of Public Debt under Partial Observation of the Economic Growth. (2019). Ferrari, Giorgio ; Ceci, Claudia ; Callegaro, Giorgia. In: Papers. RePEc:arx:papers:1901.08356.

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2019Irreversible investment with fixed adjustment costs: a stochastic impulse control approach. (2019). federico, salvatore ; Tacconi, Elisa ; Rosestolato, Mauro . In: Papers. RePEc:arx:papers:1801.04491.

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2019Optimal Reduction of Public Debt under Partial Observation of the Economic Growth. (2019). Ferrari, Giorgio ; Ceci, Claudia ; Callegaro, Giorgia. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:608.

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2019On optimal stopping of multidimensional diffusions. (2019). Crocce, Fabian ; Christensen, Soren ; Salminen, Paavo ; Mordecki, Ernesto. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:7:p:2561-2581.

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2019Acceptability Indices of Performance for Bounded C\`adl\`ag Processes. (2019). Rossello, Damiano ; Kountzakis, Christos E. In: Papers. RePEc:arx:papers:1911.02261.

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2019Time-consistency of risk measures: how strong is such a property?. (2019). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Mastrogiacomo, Elisa . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00233-2.

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2019Drawing on different disciplines: macroeconomic agent-based models. (2019). HALDANE, ANDREW ; Turrell, Arthur E. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:29:y:2019:i:1:d:10.1007_s00191-018-0557-5.

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2019Risk-dependent centrality in economic and financial networks. (2019). Estrada, Ernesto ; Grassi, Rosanna ; Clemente, Gian Paolo ; Benzi, Michele ; Bartesaghi, Paolo. In: Papers. RePEc:arx:papers:1907.07908.

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2019Interconnected Banks and Systemically Important Exposures. (2019). Kok, Christoffer ; Halaj, Grzegorz ; d'Errico, Marco ; battiston, stefano ; Derrico, Marco ; Roncoroni, Alan . In: Staff Working Papers. RePEc:bca:bocawp:19-44.

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2019The language of rules: textual complexity in banking reforms. (2019). Walczak, Eryk ; Patel, Rajan ; Garbarino, Nicola ; Brookes, James ; Amadxarif, Zahid. In: Bank of England working papers. RePEc:boe:boeewp:0834.

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2019Interconnected banks and systemically important exposures. (2019). Kok, Christoffer ; Haaj, Grzegorz ; D'Errico, Marco ; Battiston, Stefano ; Roncoroni, Alan . In: Working Paper Series. RePEc:ecb:ecbwps:20192331.

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2019Machine Learning Risk Models. (2019). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1903.06334.

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2019Term structure modeling for multiple curves with stochastic discontinuities. (2019). Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1810.09882.

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2019Convergence to the Mean Field Game Limit: A Case Study. (2019). Tan, Xiaowei ; San Martin, Jaime ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1806.00817.

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2019Decomposition formula for rough Volterra stochastic volatility models. (2019). Vives, Josep ; Sottinen, Tommi ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.07101.

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2019Incorporating signals into optimal trading. (2019). Lehalle, Charles-Albert ; Neuman, Eyal. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00382-7.

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2019The Emergence of Innovation Complexity at Different Geographical and Technological Scales. (2019). Chiarotti, Guido ; Chinazzi, Matteo ; Napolitano, Lorenzo ; Pugliese, Emanuele. In: Papers. RePEc:arx:papers:1909.05604.

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2019Economic complexity and jobs: an empirical analysis. (2019). Adam, Antonis ; Lapatinas, Athanasios ; Garas, Antonios. In: MPRA Paper. RePEc:pra:mprapa:92401.

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2019Economic complexity and environmental performance: Evidence from a world sample. (2019). Lapatinas, Athanasios ; Boleti, Eirini ; Garas, Antonios ; Kyriakou, Alexandra. In: MPRA Paper. RePEc:pra:mprapa:92833.

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2019The development of nations conditions the disease space. (2019). Lapatinas, Athanasios ; Guthmuller, Sophie ; Garas, Antonios. In: Working Papers. RePEc:jrs:wpaper:201909.

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2019Chaos and Order in the Bitcoin Market. (2019). Solna, Knut ; Garnier, Josselin. In: Papers. RePEc:arx:papers:1809.08403.

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2019Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility. (2019). Akosah, Nana ; Alagidede, Paul ; Omane-Adjepong, Maurice. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:105-120.

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2019Bitcoin and investor sentiment: Statistical characteristics and predictability. (2019). Eom, Cheoljun ; Pichl, Lukas ; Kang, Sang Hoon ; Kaizoji, Taisei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:511-521.

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2019Stylised facts for high frequency cryptocurrency data. (2019). Zhang, Yuanyuan ; Nadarajah, Saralees ; Chu, Jeffrey ; Chan, Stephen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:598-612.

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2019The stylized facts of prediction markets: Analysis of price changes. (2019). Restocchi, Valerio ; Gerding, Enrico ; McGroarty, Frank. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:159-170.

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2019Informational inefficiency of Bitcoin: A study based on high-frequency data. (2019). Zargar, Faisal Nazir ; Kumar, Dilip. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:344-353.

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2019Altcoin-Bitcoin Arbitrage. (2019). Kakushadze, Zura ; Yu, Willie. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:6:y:2019:i:1:p:87-110.

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2019Cryptocurrencies as a financial asset: A systematic analysis. (2019). Yarovaya, Larisa ; Urquhart, Andrew ; Lucey, Brian ; Corbet, Shaen. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:182-199.

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2019Multifractal behavior of price and volume changes in the cryptocurrency market. (2019). Stosic, Tatijana ; Ludermir, Teresa B. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:520:y:2019:i:c:p:54-61.

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2019The high frequency multifractal properties of Bitcoin. (2019). Lahmiri, Salim ; Bekiros, Stelios ; Babalos, Vassilios ; Stavroyiannis, Stavros ; Uddin, Gazi Salah. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:520:y:2019:i:c:p:62-71.

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2019Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin. (2019). Wu, Yan Wendy ; Chan, Wing ; Le, Minh. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:107-113.

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2019The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approach. (2019). Korotina, Olesya ; Popov, Victor ; Dolgonosov, Maxim ; Korolkova, Inna. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:156-168.

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2019Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1904.12346.

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2019Nonlinear dependence in cryptocurrency markets. (2019). Laurini, Márcio ; Chaim, Pedro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:32-47.

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2019Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market. (2019). Tiwari, Aviral Kumar ; Boako, Gideon ; Roubaud, David. In: International Economics. RePEc:eee:inteco:v:158:y:2019:i:c:p:77-90.

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2019Asymmetric multifractal cross-correlations between the main world currencies and the main cryptocurrencies. (2019). Bouri, Elie ; Kristjanpoller, Werner . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:1057-1071.

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2019Momentum and contrarian effects on the cryptocurrency market. (2019). Sakowski, Pawe ; Kosc, Krzysztof ; Lepaczuk, Robert. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:691-701.

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2019Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum. (2019). Kang, Sanghoon ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:222-230.

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2019Are cryptocurrencies connected to forex? A quantile cross-spectral approach. (2019). Baumohl, Eduard. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:363-372.

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2019Does the introduction of futures improve the efficiency of Bitcoin?. (2019). Posch, Peter N ; Muller, Janis ; Kochling, Gerrit. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:367-370.

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2019Bitcoin: Safe haven, hedge or diversifier? Perception of bitcoin in the context of a country’s economic situation — A stochastic volatility approach. (2019). Kliber, Agata ; Świerczyńska, Katarzyna ; Wierczyska, Katarzyna ; Musiakowska, Ida ; Marszaek, Pawe. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:246-257.

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2019Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis. (2019). Anandarao, S ; Kumar, Anoop S. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:448-458.

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2019Chaos and order in the bitcoin market. (2019). Solna, Knut ; Garnier, Josselin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:708-721.

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2019Exploring disorder and complexity in the cryptocurrency space. (2019). Ludermir, Teresa B ; Stosic, Dusan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:548-556.

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2019Bitcoin and Web Search Query Dynamics: Is the price driving the hype or is the hype driving the price?. (2019). Sussmuth, Bernd. In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy. RePEc:zbw:vfsc19:203566.

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2019A numerical scheme for the quantile hedging problem. (2019). Reisinger, Christoph ; Chassagneux, Jean-Franccois. In: Papers. RePEc:arx:papers:1902.11228.

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2019A stochastic PDE model for limit order book dynamics. (2019). Mueller, Marvin S ; Cont, Rama. In: Papers. RePEc:arx:papers:1904.03058.

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2019A STOCHASTIC PDE MODEL FOR LIMIT ORDER BOOK DYNAMICS. (2019). Muller, Marvin ; Cont, Rama. In: Working Papers. RePEc:hal:wpaper:hal-02090449.

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2019Solving high-dimensional optimal stopping problems using deep learning. (2019). Welti, Timo ; Jentzen, Arnulf ; Cheridito, Patrick ; Becker, Sebastian. In: Papers. RePEc:arx:papers:1908.01602.

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2019Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions. (2019). , Justin ; Chen, Yangang. In: Papers. RePEc:arx:papers:1909.11532.

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2019Applications of the Deep Galerkin Method to Solving Partial Integro-Differential and Hamilton-Jacobi-Bellman Equations. (2019). Saporito, Yuri ; Jardim, Gabriel ; de Frietas, Danilo ; Correia, Adolfo ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1912.01455.

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2019A Doubly Corrected Robust Variance Estimator for Linear GMM. (2019). Lee, Seojeong ; Kang, Byunghoon ; Hwang, Jungbin. In: Papers. RePEc:arx:papers:1908.07821.

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2019A Doubly Corrected Robust Variance Estimator for Linear GMM. (2019). Lee, Seojeong ; Kang, Byunghoon ; Hwang, Jungbin. In: Working Papers. RePEc:lan:wpaper:274731767.

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2019Evolution of the Cultural Trade Network in “the Belt and Road” Region: Implication for Global Cultural Sustainability. (2019). Wu, Zhiqin ; Cheng, Jianquan. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:10:p:2744-:d:230989.

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2019Price competition with uncertain quality and cost. (2019). Heinsalu, Sander. In: Papers. RePEc:arx:papers:1903.03987.

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2019How do countries specialize in food production? A complex-network analysis of the global agricultural product space. (2019). Campi, Mercedes ; Fagiolo, Giorgio ; Duenas, Marco. In: LEM Papers Series. RePEc:ssa:lemwps:2019/37.

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2019Building Relationships with Customer 4.0 in the Era of Marketing 4.0: The Case Study of Innovative Enterprises in Poland. (2019). Woniak, Jacek ; Wereda, Wioletta . In: Social Sciences. RePEc:gam:jscscx:v:8:y:2019:i:6:p:177-:d:238132.

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2019Systemic Optimal Risk Transfer Equilibrium. (2019). Meyer-Brandis, Thilo ; Frittelli, Marco ; Fouque, Jean-Pierre ; Doldi, Alessandro ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1907.04257.

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2019Does progressivity always lead to progress? The impact of local redistribution on tax manipulation. (2019). Giommoni, Tommaso . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7588.

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2019Quasi-dark trading: The effects of banning dark pools in a world of many alternatives. (2019). Putnins, Talis ; Westheide, Christian ; Sagade, Satchit ; Johann, Thomas . In: SAFE Working Paper Series. RePEc:zbw:safewp:253.

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2019Impact of higher capital buffers on banks’ lending and risk-taking: evidence from the euro area experiments. (2019). Varraso, Paolo ; Marques, Aurea Ponte ; Budrys, Ymantas ; Peeters, Jonas ; Cappelletti, Giuseppe. In: Working Paper Series. RePEc:ecb:ecbwps:20192292.

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2019Loss aversion and the zero-earnings discontinuity. (2019). de la Rosa, Leonidas ; Niebuhr, Nikolaj Kirkeby. In: Economics Working Papers. RePEc:aah:aarhec:2019-09.

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2019Intended and unintended effects of public incentives for innovation. Quasi-experimental evidence from Italy. (2019). Ventura, Marco ; Mellace, Giovanni. In: Discussion Papers of Business and Economics. RePEc:hhs:sdueko:2019_009.

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2019Robust uniform inference for quantile treatment effects in regression discontinuity designs. (2019). Hsu, Yu-Chin ; Chiang, Harold D ; Sasaki, Yuya. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:589-618.

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2019The effect of increased funding on student achievement: Evidence from Texass small district adjustment. (2019). Kreisman, Daniel ; Steinberg, Matthew P. In: Journal of Public Economics. RePEc:eee:pubeco:v:176:y:2019:i:c:p:118-141.

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2019Mayor’s wage and Public procurement. (2019). D'Andrea, Angelo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19125.

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2019On the K\ahler Geometry of Certain Optimal Transport Problems. (2019). Zhang, Jun ; Khan, Gabriel. In: Papers. RePEc:arx:papers:1812.00032.

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2019Revealed Stochastic Preference: A One-Paragraph Proof and Generalization. (2019). Stoye, Jörg. In: Papers. RePEc:arx:papers:1810.10604.

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2019Does Random Consideration Explain Behavior when Choice is Hard? Evidence from a Large-scale Experiment. (2019). Kashaev, Nail ; Boccardi Chalela, Maria Jose ; Aguiar, Victor ; Kim, Jeongbin. In: Papers. RePEc:arx:papers:1812.09619.

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2019Revealed Stochastic Preference: A one-paragraph proof and generalization. (2019). Stoye, Jorg. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:66-68.

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2019Adaptive stochastic search. (2019). Kimya, Mert ; Aguiar, Victor H. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:81:y:2019:i:c:p:74-83.

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2019Discrete Choice and Welfare Analysis with Unobserved Choice Sets. (2019). Kashaev, Nail ; Aguiar, Victor H. In: Papers. RePEc:arx:papers:1907.04853.

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2019Nonparametric Analysis of Random Utility Models: Computational Tools for Statistical Testing. (2019). De Rock, Bram ; Cherchye, Laurens ; Smeulders, Bart. In: Working Papers ECARES. RePEc:eca:wpaper:2013/292215.

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2019Frequentist properties of Bayesian inequality tests. (2019). Kaplan, David ; Zhuo, Longhao. In: Working Papers. RePEc:umc:wpaper:1910.

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2019Bounding counterfactual demand with unobserved heterogeneity and endogenous expenditures. (2019). Demuynck, Thomas ; Cherchye, Laurens ; de Rock, Bram. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:483-506.

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2019Demand analysis with many prices. (2019). Newey, Whitney K ; Hausman, Jerry ; Chernozhukov, Victor. In: CeMMAP working papers. RePEc:ifs:cemmap:59/19.

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2019Bayesian shrinkage in mixture of experts models: Identifying robust determinants of class membership. (2019). Zens, Gregor. In: Papers. RePEc:arx:papers:1809.04853.

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2019Trend Prediction Classification for High Frequency Bitcoin Time Series with Deep Learning. (2019). Shintate, Takuya ; Pichl, Luka . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:17-:d:199465.

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2019Enhancing Time Series Momentum Strategies Using Deep Neural Networks. (2019). Roberts, Stephen ; Zohren, Stefan ; Lim, Bryan. In: Papers. RePEc:arx:papers:1904.04912.

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2019Autonomous vessels: State of the art and potential opportunities in logistics. (2019). Wallace, Stein ; Gu, Yewen ; Guajardo, Mario ; Mario, Guajardo ; Goez, Julio C. In: Discussion Papers. RePEc:hhs:nhhfms:2019_006.

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2019Optimal Management of Debt-To-GDP Ratio with Regime-Switching Interest Rate. (2018). Rodosthenous, Neofytos ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:589.

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2019Universal Bounds and Monotonicity Properties of Ratios of Hermite and Parabolic Cylinder Functions. (2019). Koch, Torben. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:615.

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2019Optimal VWAP execution under transient price impact. (2019). Lillo, Fabrizio ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:1901.02327.

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2019Omega and Sharpe ratio. (2019). Guez, Beatrice ; Benhamou, Eric. In: Papers. RePEc:arx:papers:1911.10254.

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2019Stochastic ordering of Gini indexes for multivariate elliptical risks. (2019). Kim, Jeongsim. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:151-158.

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2019Hysteresis of economic networks in an XY model. (2019). Hosseiny, Ali ; Gallegati, Mauro ; Sherafati, Mohammad ; Absalan, Mohammadreza. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:644-652.

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2019Portfolio liquidation under factor uncertainty. (2019). Zhou, Chao ; Xia, Xiaonyu ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1909.00748.

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2019On occupation times in the red of L\evy risk models. (2019). Lkabous, Mohamed Amine ; Li, Bin ; Landriault, David. In: Papers. RePEc:arx:papers:1903.03721.

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2019A note on Parisian ruin under a hybrid observation scheme. (2019). Lkabous, Mohamed Amine. In: Papers. RePEc:arx:papers:1907.09993.

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2019Variety, Complexity and Economic Development. (2019). Frenken, Koen ; van Dam, Alje. In: Papers. RePEc:arx:papers:1903.07997.

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2019Variety, Complexity and Economic Development. (2019). Frenken, Koen ; van Dam, Alje. In: Papers in Evolutionary Economic Geography (PEEG). RePEc:egu:wpaper:1912.

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2019A Law of Functional Expansion - Eliciting the Dynamics of Consumer Goods Innovation with Design Theory. (2019). Weil, Benoit ; Hatchuel, Armand ; El Qaoumi, Kenza ; le Masson, Pascal ; Lemasson, Pascal . In: Post-Print. RePEc:hal:journl:hal-02291543.

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2019A class of recursive optimal stopping problems with applications to stock trading. (2019). de Angelis, Tiziano ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1905.02650.

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2019Credit risk migration rates modelling as open systems II: A simulation model and IFRS9-baseline principles. (2019). Casellina, S ; Uberti, M ; Landini, S. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:50:y:2019:i:c:p:175-189.

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2019Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545.

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2019Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375.

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2019Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility. (2019). Brigo, Damiano ; Armstrong, John. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:122-135.

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2019Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar . In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113.

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2019Market-Risk Optimization among the Developed and Emerging Markets with CVaR Measure and Copula Simulation. (2019). Tiwari, Aviral Kumar ; Trabelsi, Nader. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:78-:d:246399.

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2019Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error. (2019). van Dijk, Dick ; Kole, Erik ; Barendse, Sander . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:2019058.

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2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk). (2019). Ziegel, Johanna F ; Patton, Andrew J ; Chen, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:388-413.

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2019A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. (2019). Gherghina, Ştefan ; PANAIT, Iulian ; Armeanu, Daniel Tefan ; Badea, Leonardo . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:5:p:1325-:d:210534.

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2019Submodular Mean Field Games. Existence and Approximation of Solutions. (2019). Nendel, Max ; Fischer, Markus ; Ferrari, Giorgio ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:621.

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2019Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices. (2019). Rudebusch, Glenn ; Andreasen, Martin M. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:26-46.

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2019Behavioural investors in conic market models. (2019). Rasonyi, Miklos ; Chau, Huy N. In: Papers. RePEc:arx:papers:1903.08156.

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2019Portfolio optimization based on network topology. (2019). Li, Yan ; Zheng, BO ; Tian, Yue ; Jiang, Xiong-Fei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:671-681.

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2019Approximation methods for piecewise deterministic Markov processes and their costs. (2019). Thonhauser, Stefan ; Szolgyenyi, Michaela ; Leobacher, Gunther ; Kritzer, Peter. In: Papers. RePEc:arx:papers:1712.09201.

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2019Indifference pricing of pure endowments via BSDEs under partial information. (2019). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:1804.00223.

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2019From cash- to securities-driven euro area repo markets: the role of financial stress and safe asset scarcity. (2019). Brand, Claus ; Hubert, Antoine ; Ferrante, Lorenzo. In: Working Paper Series. RePEc:ecb:ecbwps:20192232.

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2019Machine learning in empirical asset pricing. (2019). Weigand, Alois. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:1:d:10.1007_s11408-019-00326-3.

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2019Exploring the dynamics of Bitcoin’s price: a Bayesian structural time series approach. (2019). Poyser, Obryan. In: Eurasian Economic Review. RePEc:spr:eurase:v:9:y:2019:i:1:d:10.1007_s40822-018-0108-2.

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2019Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests. (2019). Apergis, Nicholas ; Ur, Mobeen. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:603-616.

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2019Robust XVA. (2019). Sturm, Stephan ; Capponi, Agostino ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:1808.04908.

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2019Credit spread approximation and improvement using random forest regression. (2019). Lardy, Jean-Pierre ; Mercadier, Mathieu. In: European Journal of Operational Research. RePEc:eee:ejores:v:277:y:2019:i:1:p:351-365.

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2019Algorithmic trading in a microstructural limit order book model. (2019). Pham, Huyen ; Hur, Come . In: Papers. RePEc:arx:papers:1705.01446.

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2019Algorithmic trading in a microstructural limit order book model. (2019). Pham, Huyen ; Hure, Come ; Abergel, Frederic. In: Working Papers. RePEc:hal:wpaper:hal-01514987.

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2019Principal-agent problem with multiple principals. (2019). Yang, Junjian ; Ren, Zhenjie ; Hu, Kaitong. In: Working Papers. RePEc:hal:wpaper:hal-02088486.

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2019Optimal make-take fees for market making regulation. (2019). Touzi, Nizar ; Rosenbaum, Mathieu ; Mastrolia, Thibaut ; Euch, Omar. In: Working Papers. RePEc:hal:wpaper:hal-02379592.

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2019Option Pricing with Orthogonal Polynomial Expansions. (2019). Filipovic, Damir ; Ackerer, Damien. In: Papers. RePEc:arx:papers:1711.09193.

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2019Quantization goes Polynomial. (2017). Pallavicini, Andrea ; Fiorin, Lucio ; Callegaro, Giorgia. In: Papers. RePEc:arx:papers:1710.11435.

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2019Ruin Probability Functions and Severity of Ruin as a Statistical Decision Problem. (2019). Calderin-Ojeda, Enrique ; Sarabia, Jose Maria ; Gomez-Deniz, Emilio. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:68-:d:240529.

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2019A model-free backward and forward nonlinear PDEs for implied volatility. (2019). Stoikov, Sasha ; Itkin, Andrey ; Carr, Peter. In: Papers. RePEc:arx:papers:1907.07305.

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2019Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods. (2019). Tan, Shih-Hau ; Hok, Julien. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00232-3.

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2019International trade, development traps, and the core-periphery structure of income inequality. (2019). Pinheiro, Flávio ; Hartmann, Dominik ; Lodolo, Beatrice ; Bezerra, Mayra. In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. RePEc:zbw:hohdps:012019.

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2019Mapping stratification: The industry-occupation space reveals the network structure of inequality. (2019). Hartmann, Dominik ; Gala, Paulo ; Kaltenberg, Mary ; Jara-Figueroa, Cristian. In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. RePEc:zbw:hohdps:062019.

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2019Economic Complexity, Human Capital and Income Inequality: A Cross-Country Analysis. (2019). Vu, Trung ; Lee, Kangkook. In: MPRA Paper. RePEc:pra:mprapa:94737.

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2019Scalar multivariate risk measures with a single eligible asset. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1807.10694.

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2019Time consistency for scalar multivariate risk measures. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1810.04978.

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2019Inference of Binary Regime Models with Jump Discontinuities. (2019). Rajani, Sharan ; Goswami, Anindya ; Das, Milan Kumar. In: Papers. RePEc:arx:papers:1910.10606.

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2019Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case. (2019). Bayraktar, Erhan ; Zhou, Zhou ; Zhang, Jingjie. In: Papers. RePEc:arx:papers:1802.08358.

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2019From Glosten-Milgrom to the whole limit order book and applications to financial regulation. (2019). Saliba, Pamela ; Rosenbaum, Mathieu ; Huang, Weibing . In: Papers. RePEc:arx:papers:1902.10743.

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2019No arbitrage and lead–lag relationships. (2019). Koike, Yuta ; Hayashi, Takaki. In: Statistics & Probability Letters. RePEc:eee:stapro:v:154:y:2019:i:c:1.

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2019High-dimensional sparse financial networks through a regularised regression model. (2019). Costola, Michele ; Bernardi, Mauro. In: SAFE Working Paper Series. RePEc:zbw:safewp:244.

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2019Probability density of lognormal fractional SABR model. (2019). Akahori, Jiro ; Wang, Tai-Ho ; Song, Xiaoming. In: Papers. RePEc:arx:papers:1702.08081.

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2019Computational Methods for Martingale Optimal Transport problems. (2019). Obloj, Jan ; Guo, Gaoyue. In: Papers. RePEc:arx:papers:1710.07911.

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2019Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem. (2019). Vargiolu, Tiziano ; Koch, Torben. In: Papers. RePEc:arx:papers:1911.04223.

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2019Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem. (2019). Vargiolu, Tiziano ; Koch, Torben. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:627.

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2019The Impact of Taxation on GMWB Contract in a Stochastic Interest Rate Framework. (2019). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:1901.11296.

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2019Superhedging prices of European and American options in a non-linear incomplete market with default. (2019). Sulem, Agns ; Quenez, Marie-Claire ; Grigorova, Miryana. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:607.

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2019European options in a non-linear incomplete market model with default. (2019). Sulem, Agnes ; Quenez, Marie-Claire ; Grigorova, Miryana. In: Working Papers. RePEc:hal:wpaper:hal-02025833.

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2019American options in a non-linear incomplete market model with default. (2019). Sulem, Agnes ; Quenez, Marie-Claire ; Grigorova, Miryana. In: Working Papers. RePEc:hal:wpaper:hal-02025835.

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2019Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths. (2019). Lindahl-Jacobsen, Rune ; Oeppen, Jim ; Kallestrup-Lamb, Malene ; Ergemen, Yunus Emre ; Kjargaard, Soren. In: CREATES Research Papers. RePEc:aah:create:2019-07.

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2019Understanding Preferences: Demand Types, and the Existence of Equilibrium with Indivisibilities. (2019). Klemperer, Paul ; Baldwin, Elizabeth. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13586.

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2019The effect of the Internet on economic sophistication: An empirical analysis. (2019). Lapatinas, Athanasios. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:35-38.

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2019The Relationship between Economic Complexity, Energy Consumption Structure and Greenhouse Gas Emission: Heterogeneous Panel Evidence from the EU Countries. (2019). Neagu, Olimpia ; Teodoru, Mircea Constantin. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:2:p:497-:d:198872.

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2019When complexity meets finance: a contribution to the study of the macroeconomic effects of complex financial systems. (2019). Russo, Alberto ; Caverzasi, Eugenio ; Botta, Alberto. In: Greenwich Papers in Political Economy. RePEc:gpe:wpaper:23121.

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2019Transformational Complexity, Systemic Complexity and Economic Development. (2019). Natera, José ; Castellacci, Fulvio. In: Working Papers on Innovation Studies. RePEc:tik:inowpp:20190315.

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2019The development of nations conditions the disease space. (2019). Lapatinas, Athanasios ; Guthmuller, Sophie ; Garas, Antonios. In: MPRA Paper. RePEc:pra:mprapa:92831.

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2019Export take-offs and acceleration: Unpacking cross-sector linkages in the evolution of comparative advantage. (2019). Wagner, Rodrigo ; Stein, Ernesto ; Rosenow, Samuel ; Bahar, Dany. In: World Development. RePEc:eee:wdevel:v:117:y:2019:i:c:p:48-60.

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2019Economic complexity and sovereign risk premia. (2019). Ozmen, Utku. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00975.

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2019Role of production in fostering innovation. (2019). Lee, Jeong-Dong ; Eum, Wonsub. In: Technovation. RePEc:eee:techno:v:84-85:y:2019:i::p:1-10.

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2019The Link between Economic Complexity and Carbon Emissions in the European Union Countries: A Model Based on the Environmental Kuznets Curve (EKC) Approach. (2019). Neagu, Olimpia. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:17:p:4753-:d:262613.

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2019Intelligence and economic sophistication. (2019). Litina, Anastasia ; Lapatinas, Athanasios. In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:5:d:10.1007_s00181-018-1511-y.

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2019Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Muhle-Karbe, Johannes ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1705.00672.

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2019Total, asymmetric and frequency connectedness between oil and forex markets. (2019). Kocenda, Evzen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2019Affine representations of fractional processes with applications in mathematical finance. (2019). Stefanovits, David ; Harms, Philipp. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:4:p:1185-1228.

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2019Hybrid simulation scheme for volatility modulated moving average fields. (2019). , Almut ; Pakkanen, Mikko S ; Heinrich, Claudio . In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:166:y:2019:i:c:p:224-244.

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2019Obligations with Physical Delivery in a Multi-Layered Financial Network. (2019). Feinstein, Zachary. In: Papers. RePEc:arx:papers:1702.07936.

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2019On Fairness of Systemic Risk Measures. (2019). Meyer-Brandis, Thilo ; Frittelli, Marco ; Fouque, Jean-Pierre ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1803.09898.

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2019Control-stopping Games for Market Microstructure and Beyond. (2019). Nadtochiy, Sergey ; Gayduk, Roman . In: Papers. RePEc:arx:papers:1708.00506.

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2019Short-term at-the-money asymptotics under stochastic volatility models. (2019). Rosenbaum, Mathieu ; Gatheral, Jim ; Fukasawa, Masaaki ; el Euch, Omar. In: Papers. RePEc:arx:papers:1801.08675.

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2019Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions. (2019). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:1808.00421.

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2019Optimal hedging under fast-varying stochastic volatility. (2019). Solna, Knut ; Garnier, Josselin. In: Papers. RePEc:arx:papers:1810.08337.

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2019Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model. (2019). Liu, Ruihua ; Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:1908.04900.

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2019Sensitivity of optimal consumption streams. (2019). Muhle-Karbe, Johannes ; Herdegen, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:6:p:1964-1992.

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2019Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations. (2019). Pap, Gyula ; Kebaier, Ahmed ; ben Alaya, Mohamed ; Barczy, Matyas. In: Papers. RePEc:arx:papers:1711.02140.

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2019Trading Networks with General Preferences. (2019). Schlegel, Jan Christoph. In: Papers. RePEc:arx:papers:1808.07924.

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2019Competitive Equilibria in Matching Models with Financial Constraints. (2019). Herings, P. Jean-Jacques ; Zhou, YU. In: Research Memorandum. RePEc:unm:umagsb:2019007.

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2019Multidimensional Markovian FBSDEs with super-quadratic growth. (2019). Tangpi, Ludovic ; Luo, Peng ; Kupper, Michael. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:3:p:902-923.

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2019A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2019Game Options under Knightian Uncertainty in Discrete Time. (2019). Rubbenstroth, Bodo. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:619.

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2019Modeling the impulse response complex network for studying the fluctuation transmission of price indices. (2019). Wang, ZE ; Feng, Sida ; Wen, Shaobo ; Gao, Xiangyun ; Sun, Qingru. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:14:y:2019:i:4:d:10.1007_s11403-018-0231-x.

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2019Mean Field Games with Partial Information for Algorithmic Trading. (2019). Jaimungal, Sebastian ; Casgrain, Philippe. In: Papers. RePEc:arx:papers:1803.04094.

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2019Regression Discontinuity Design with Multiple Groups for Heterogeneous Causal Effect Estimation. (2019). Hoshino, Takahiro ; Wakano, Ayako ; Toda, Takayuki. In: Papers. RePEc:arx:papers:1905.04443.

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2019Essays in econometric theory. (2019). Sadikoglu, Serhan . In: Other publications TiSEM. RePEc:tiu:tiutis:99d83644-f9dc-49e3-a4e1-5ca8a8d3f784.

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2019Debiased/Double Machine Learning for Instrumental Variable Quantile Regressions. (2019). Chen, Jau-er ; Tien, Jia-Jyun. In: Papers. RePEc:arx:papers:1909.12592.

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2019Efficient Semi-Discretization Techniques for Pricing European and American Basket Options. (2019). Soleymani, Fazlollah. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9819-4.

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2019Enhancing Stock Movement Prediction with Adversarial Training. (2019). Chua, Tat-Seng ; Sun, Maosong ; Ding, JI ; He, Xiangnan ; Chen, Huimin ; Feng, Fuli. In: Papers. RePEc:arx:papers:1810.09936.

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2019Using Deep Learning Neural Networks and Candlestick Chart Representation to Predict Stock Market. (2019). Hua, Kai-Lung ; Ou, Yu-Yen ; Kao, Wei-Chun ; Ho, Trang-Thi ; Irawan, Rosdyana Mangir. In: Papers. RePEc:arx:papers:1903.12258.

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2019Online reviews can predict long-term returns of individual stocks. (2019). Zhao, Jichang ; Xu, KE ; Wu, Junran. In: Papers. RePEc:arx:papers:1905.03189.

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2019Optimal contracting in networks. (2019). Kakhbod, Ali ; Jadbabaie, Ali. In: Journal of Economic Theory. RePEc:eee:jetheo:v:183:y:2019:i:c:p:1094-1153.

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2019The value of knowing the market price of risk. (2019). Nicolosi, Marco ; Herzel, Stefano ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1909.07837.

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2019Optimal Convergence Trading with Unobservable Pricing Errors. (2019). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan. In: Papers. RePEc:arx:papers:1910.01438.

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2019A simulation of the insurance industry: The problem of risk model homogeneity. (2019). Farmer, Doyne J ; Sabuco, Juan ; Heinrich, Torsten. In: Papers. RePEc:arx:papers:1907.05954.

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2019A simulation of the insurance industry: The problem of risk model homogeneity. (2019). Farmer, Doyne J ; Sabuco, Juan ; Heinrich, Torsten. In: MPRA Paper. RePEc:pra:mprapa:95096.

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2019Interpreting the skill score form of forecast performance metrics. (2019). Wheatcroft, Edward. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:573-579.

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2019BRIM: An Accurate Electricity Spot Price Prediction Scheme-Based Bidirectional Recurrent Neural Network and Integrated Market. (2019). Jin, Qun ; Ma, Jianhua ; Wang, Yufeng ; Chen, Yiyuan. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:12:p:2241-:d:239123.

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2019Risk Minimization, Regret Minimization and Progressive Hedging Algorithms. (2019). Sun, Jie ; Yang, Xinmin ; Yao, Qiang. In: Papers. RePEc:arx:papers:1705.00340.

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2019Static vs Adaptive Strategies for Optimal Execution with Signals. (2019). Brigo, Damiano ; Neuman, Eyal ; Done, Alex ; Bellani, Claudio. In: Papers. RePEc:arx:papers:1811.11265.

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2019Designing coalition-based fair and stable pricing mechanisms under private information on consumers’ reservation prices. (2019). le Cadre, Helene ; Beaude, Olivier ; Homem-De, Tito ; Pagnoncelli, Bernardo. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:1:p:270-291.

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2019When panic makes you blind: A chaotic route to systemic risk. (2019). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:176-199.

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2019Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach. (2019). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:200-229.

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2019Computation of optimal transport and related hedging problems via penalization and neural networks. (2019). Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1802.08539.

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2019Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2019). Papapantoleon, Antonis ; Lux, Thibaut. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:73-83.

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2019On a strategic model of pollution control. (2019). Koch, Torben ; Ferrari, Giorgio. In: Annals of Operations Research. RePEc:spr:annopr:v:275:y:2019:i:2:d:10.1007_s10479-018-2935-7.

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2019Stochastic differential reinsurance games with capital injections. (2019). Qian, Linyi ; Jin, Zhuo ; Zhang, Nan ; Fan, Kun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:7-18.

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2019Switching cost models as hypothesis tests. (2019). Menzies, Gordon ; Zizzo, Daniel J ; Muhle-Karbe, Johannes ; Henckel, Timo ; Cohen, Samuel N. In: Economics Letters. RePEc:eee:ecolet:v:175:y:2019:i:c:p:32-35.

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2019Economic Growth Model with Constant Pace and Dynamic Memory. (2019). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1701.06299.

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2019Inference for Volatility Functionals of Multivariate It\^o Semimartingales Observed with Jump and Noise. (2019). Chen, Richard Y. In: Papers. RePEc:arx:papers:1810.04725.

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2019Multivariate expectile trimming and the BExPlot. (2019). Fernandez, Ignacio Cascos ; Ochoa, Maicol Jesus. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28434.

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2019From Halfspace M-Depth to Multiple-output Expectile Regression. (2019). Paindaveine, Davy ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:123159.

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2019Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?. (2018). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: Working Papers. RePEc:ris:crcrmw:2018_004.

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2019Enhanced news sentiment analysis using deep learning methods. (2019). Souma, Wataru ; Aoyama, Hideaki ; Vodenska, Irena. In: Journal of Computational Social Science. RePEc:spr:jcsosc:v:2:y:2019:i:1:d:10.1007_s42001-019-00035-x.

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2019Adapted Wasserstein Distances and Stability in Mathematical Finance. (2019). Eder, Manu ; Beiglbock, Mathias ; Bartl, Daniel ; Backhoff-Veraguas, Julio. In: Papers. RePEc:arx:papers:1901.07450.

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2019Pure Nash Equilibria and Best-Response Dynamics in Random Games. (2019). Scarsini, Marco ; Collevecchio, Andrea ; Amiet, Ben. In: Papers. RePEc:arx:papers:1905.10758.

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2019The Scale-Dependent Behaviour of Cities: A Cross-Cities Multiscale Driver Analysis of Urban Energy Use. (2019). Meinherz, Franziska ; Fernandez, Gabriela ; Meirelles, Joao ; Bettignies, Yves ; Athanassiadis, Aristide ; Bouillard, Philippe ; Hoekman, Paul. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:12:p:3246-:d:239211.

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2019Bitcoins return behaviour: What do We know so far?. (2019). Fajardo, Jose. In: MPRA Paper. RePEc:pra:mprapa:93353.

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2019Multi-period portfolio selection with drawdown control. (2019). Madsen, Henrik ; Lindstrom, Erik ; Boyd, Stephen ; Nystrup, Peter. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2947-3.

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2019Solution refinement at regular points of conic problems. (2019). Boyd, Stephen ; Moursi, Walaa M ; Busseti, Enzo. In: Computational Optimization and Applications. RePEc:spr:coopap:v:74:y:2019:i:3:d:10.1007_s10589-019-00122-9.

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2019Viability and Arbitrage under Knightian Uncertainty. (2019). Riedel, Frank ; Soner, Mete H ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1707.03335.

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2019Off to the Races: A Comparison of Machine Learning and Alternative Data for Predicting Economic Indicators. (2019). Batch, Andrea ; Driessen, Alexander ; Hood, Kyle K ; Dunn, Abe ; Chen, Jeffrey C. In: NBER Chapters. RePEc:nbr:nberch:14268.

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2019Drawdown measures: Are they all the same?. (2019). Schwehm, Christian ; Moller, Philipp M ; Korn, Olaf. In: CFR Working Papers. RePEc:zbw:cfrwps:1904.

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2019Gittins theorem under uncertainty. (2019). Treetanthiploet, Tanut ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:1907.05689.

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2019Robustness in the Optimization of Risk Measures. (2019). Wang, Ruodu ; Schied, Alexander ; Embrechts, Paul. In: Papers. RePEc:arx:papers:1809.09268.

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2019Application of Machine Learning to Mortality Modeling and Forecasting. (2019). Pizzorusso, Virginia ; Levantesi, Susanna. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:26-:d:209175.

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2019A Deep Learning Integrated Lee–Carter Model. (2019). Perla, Francesca ; Scognamiglio, Salvatore ; Marino, Mario ; Levantesi, Susanna ; Nigri, Andrea. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:33-:d:214560.

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2019Polynomial Jump-Diffusion Models. (2019). Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1711.08043.

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2019Prediction Law of Mixed Gaussian Volterra Processes. (2019). Viitasaari, Lauri ; Sottinen, Tommi. In: Papers. RePEc:arx:papers:1904.09799.

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2019Haar wavelet method for approximating the solution of a coupled system of fractional-order integral–differential equations. (2019). Quan, Long ; Zhang, Jun ; Ren, Zhongkai ; Wang, Tao ; Xie, Jiaquan. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:163:y:2019:i:c:p:80-89.

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2019Asymptotics for discrete time hedging errors under fractional Black–Scholes models. (2019). Wang, Wensheng. In: Statistics & Probability Letters. RePEc:eee:stapro:v:149:y:2019:i:c:p:160-170.

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2019Asset Prices with Investor Protection in Approximate Fractional Economy. (2019). Huang, Nan-Jing ; Wang, Ming-Hui ; Yang, Ben-Zhang ; Yue, Jia. In: Papers. RePEc:arx:papers:1911.00281.

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2019Portfolio Optimization in Fractional and Rough Heston Models. (2019). Desmettre, Sascha ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1809.10716.

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2019Mean-variance portfolio selection under Volterra Heston model. (2019). Wong, Hoi Ying ; Han, Bingyan. In: Papers. RePEc:arx:papers:1904.12442.

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2019Mertons portfolio problem with power utility under Volterra Heston model. (2019). Wong, Hoi Ying ; Han, Bingyan. In: Papers. RePEc:arx:papers:1905.05371.

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2019Time-consistent feedback strategies with Volterra processes. (2019). Wong, Hoi Ying ; Han, Bingyan. In: Papers. RePEc:arx:papers:1907.11378.

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2019Do government rescue policies reduce the market volatility after crash? Evidence from the Shanghai stock market. (2019). Wu, Yue ; Li, Sai-Ping ; Yang, Ming-Yuan ; Ren, Fei ; Tang, Jingtai. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:117-124.

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2019Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:91587.

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2019Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor. In: Papers. RePEc:arx:papers:1901.05024.

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2019New Essentials of Economic Theory I. Assumptions, Economic Space and Variables. (2019). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:93085.

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2019New Essentials of Economic Theory III. Economic Applications. (2019). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:94053.

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2019New essentials of economic theory II. Economic transactions, expectations and asset pricing. (2019). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:93428.

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2019New Essentials of Economic Theory I. Assumptions, Economic Space and Variables. (2019). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:94874.

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2019New Essentials of Economic Theory. (2019). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:95065.

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2019Methods of Economic Theory: Variables, Transactions and Expectations as Functions of Risks. (2019). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:95628.

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2019The losses from integration in matching markets can be large. (2019). Ortega, Josue. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:48-51.

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2019Coalitional game theory based local power exchange algorithm for networked microgrids. (2019). Kirtley, James L ; Wang, Jianhui ; Chen, Chen ; Mei, Jie. In: Applied Energy. RePEc:eee:appene:v:239:y:2019:i:c:p:133-141.

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2019Monotonic core allocation paths for assignment games. (2019). Liu, Shuige ; Abe, Takaaki. In: Social Choice and Welfare. RePEc:spr:sochwe:v:53:y:2019:i:4:d:10.1007_s00355-019-01197-3.

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2019Fair cake-cutting among families. (2019). Nitzan, Shmuel ; Segal-Halevi, Erel. In: Social Choice and Welfare. RePEc:spr:sochwe:v:53:y:2019:i:4:d:10.1007_s00355-019-01210-9.

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2019Order imbalances and market efficiency: New evidence from the Chinese stock market. (2019). Zhou, Wei-Xing ; Gu, Gao-Feng ; Zhang, Ting. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:458-467.

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2019Industry- and liquidity-based momentum in Australian equities. (2019). Cheng, Fan Fah ; Tan, Yeng May. In: Financial Innovation. RePEc:spr:fininn:v:5:y:2019:i:1:d:10.1186_s40854-019-0155-z.

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2019DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:1808.03668.

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2019Bounds on Multi-asset Derivatives via Neural Networks. (2019). Bernard, Carole ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:1911.05523.

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2019Market efficiency, liquidity, and multifractality of Bitcoin: A dynamic study. (2019). Adachi, Takanori ; Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1902.09253.

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2019Systematic risk in cryptocurrency market: Evidence from DCC-MGARCH model. (2019). Canh, Nguyen ; Choti, Udomsak Wong ; Thong, Nguyen Trung ; Thanh, Su Dinh ; Dinhthanh, SU ; Wongchoti, Udomsak . In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:90-100.

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2019Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk. (2017). Chernozhukov, Victor ; Chen, Mingli ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1607.00286.

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2019Learning and self-confirming long-run biases. (2019). Lanzani, G ; Francetich, A ; Battigalli, P ; Marinacci, M. In: Journal of Economic Theory. RePEc:eee:jetheo:v:183:y:2019:i:c:p:740-785.

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2019The Volatility Structure of Cryptocurrencies: The Comparison of GARCH Models. (2019). Brahim, Habib Kuukahn. In: Fiscaoeconomia. RePEc:fis:journl:190202.

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2019Mid-price Prediction Based on Machine Learning Methods with Technical and Quantitative Indicators. (2019). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Ntakaris, Adamantios. In: Papers. RePEc:arx:papers:1907.09452.

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2019Two-Step Estimation and Inference with Possibly Many Included Covariates. (2019). Jansson, Michael ; Ma, Xinwei ; Cattaneo, Matias D. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt86c7x315.

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2019Orthogonal Random Forest for Causal Inference. (2019). Syrgkanis, Vasilis ; Wu, Zhiwei Steven ; Oprescu, Miruna. In: Papers. RePEc:arx:papers:1806.03467.

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2019Inference on weighted average value function in high-dimensional state space. (2019). Chernozhukov, Victor ; Semenova, Vira ; Newey, Whitney. In: Papers. RePEc:arx:papers:1908.09173.

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2019Non-separable models with high-dimensional data. (2019). Su, Liangjun ; Ura, Takuya ; Zhang, Yichong. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:646-677.

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2019Uniform inference in high-dimensional Gaussian graphical models. (2019). Chernozhukov, Victor ; Spindler, Martin ; Kuck, Jannis ; Klaassen, Sven. In: CeMMAP working papers. RePEc:ifs:cemmap:29/19.

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2019Altcoin-Bitcoin Arbitrage. (2019). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1903.06033.

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2019Bitcoin fluctuations and the frequency of price overreactions. (2019). Plastun, Alex ; Oliinyk, Viktor ; Caporale, Guglielmo Maria. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:2:d:10.1007_s11408-019-00332-5.

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2019Mixed Levy Subordinated Market Model and Implied Probability Weighting Function. (2019). Fabozzi, Frank J ; Rachev, Svetlozar T ; Hu, Yuan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1910.05902.

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2019Nonparametric Quantile Regressions for Panel Data Models with Large T. (2019). Chen, Liang. In: Papers. RePEc:arx:papers:1911.01824.

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2019Identification in Nonparametric Models for Dynamic Treatment Effects. (2019). Han, Sukjin. In: Papers. RePEc:arx:papers:1805.09397.

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2019An assessment of the role of cultural capital on sustainable mobility behaviours: Conceptual framework and empirical evidence. (2019). Sarra, Alessandro ; Marra, Alessandro ; Crociata, Alessandro ; Cassetta, Ernesto ; Quaglione, Davide. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:66:y:2019:i:c:p:24-34.

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2019Discrete choice prox-functions on the simplex. (2019). Shikhman, Vladimir ; Nesterov, Yurii ; Muller, David. In: Papers. RePEc:arx:papers:1909.05591.

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2019Utility maximization with proportional transaction costs under model uncertainty. (2019). Yu, Xiang ; Tan, Xiaolu ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:1805.06498.

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2019Variable selection in panel models with breaks. (2019). Zhu, Yinchu ; Timmermann, Allan ; Smith, Simon C. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:323-344.

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2019Chinas monetary policy and the loan market : How strong is the credit channel in China?. (2019). Nuutilainen, Riikka ; Breitenlechner, Max . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2019_015.

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2019Chinas Monetary Policy and the Loan Market: How Strong is the Credit Channel in China?. (2019). Nuutilainen, Riikka ; Breitenlechner, Max . In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_027.

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2019An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

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2019On influence and compromise in two-tier voting systems. (2019). Grimmett, Geoffrey R. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:100:y:2019:i:c:p:35-45.

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2019Counterfactuals with Latent Information. (2019). Morris, Stephen ; Brooks, Benjamin ; Bergemann, Dirk. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2162.

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2019Counterfactuals with Latent Information. (2019). Morris, Stephen ; Brooks, Benjamin ; Bergemann, Dirk. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2162r.

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2019Inference in high-dimensional set-identified affine models. (2019). Gafarov, Bulat. In: Papers. RePEc:arx:papers:1904.00111.

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2019Common Values, Unobserved Heterogeneity, and Endogenous Entry in U.S. Offshore Oil Lease Auctions. (2019). Sant, Marcelo ; Haile, Philip A ; Compiani, Giovanni. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2137r.

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2019A global economic policy uncertainty index from principal component analysis. (2019). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:1907.05049.

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2019Structural properties of statistically validated empirical information networks. (2019). Stanley, Eugene H ; Zhou, Wei-Xing ; Chen, Wei ; Li, Ming-Xia ; Han, Rui-Qi . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:747-756.

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2019Characteristic-Sorted Portfolios: Estimation and Inference. (2019). Crump, Richard ; Cattaneo, Matias ; Schaumburg, Ernst ; Farrell, Max H. In: Papers. RePEc:arx:papers:1809.03584.

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2019Simple Local Polynomial Density Estimators. (2019). Jansson, Michael ; Cattaneo, Matias ; Ma, Xinwei. In: Papers. RePEc:arx:papers:1811.11512.

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2019Regional policy and tourism: A quasi-natural experiment. (2019). Ma, Mulan ; Hu, Yukun ; Deng, Taotao. In: Annals of Tourism Research. RePEc:eee:anture:v:74:y:2019:i:c:p:1-16.

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2019Binscatter Regressions. (2019). Crump, Richard ; Cattaneo, Matias ; Feng, Yingjie ; Farrell, Max H. In: Papers. RePEc:arx:papers:1902.09615.

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2019Data-Driven Local Polynomial Trend Estimation for Economic Data - Steady State Adjusting Trends. (2019). Fritz, Marlon. In: Working Papers Dissertations. RePEc:pdn:dispap:49.

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2019Data-driven Local Polynomial for the Trend and its Derivatives in Economic Time Series. (2019). Gries, Thomas ; Feng, Yuanhua ; Fritz, Marlon. In: Working Papers Dissertations. RePEc:pdn:dispap:50.

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2019The Urban-Rural Gap in Health Care Infrastructure – Does Government Ideology Matter?. (2019). Roesel, Felix ; Potrafke, Niklas ; Rosel, Felix. In: ifo Working Paper Series. RePEc:ces:ifowps:_300.

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2019Does Medicare Coverage Improve Cancer Detection and Mortality Outcomes?. (2019). Myerson, Rebecca ; Lakdawalla, Darius ; Goldman, Dana ; Tucker-Seeley, Reginald . In: Working Papers. RePEc:hka:wpaper:2019-054.

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2019Term limit extension and electoral participation. Evidence from a diff-in-discontinuities design at the local level in Italy. (2019). de Paola, Maria ; Depaola, Maria ; de Benedetto, Marco Alberto. In: European Journal of Political Economy. RePEc:eee:poleco:v:59:y:2019:i:c:p:196-211.

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2019Air Quality Warnings and Temporary Driving Bans: Evidence from Air Pollution, Car Trips, and Mass-Transit Ridership in Santiago. (2019). Rivera, Nathaly. In: Working Papers. RePEc:ala:wpaper:2019-06.

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2019Wild Bootstrap for Fuzzy Regression Discontinuity Designs: Obtaining Robust Bias-Corrected Confidence Intervals. (2019). Bartalotti, Otavio ; He, Yang. In: IZA Discussion Papers. RePEc:iza:izadps:dp12801.

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2019Estimation of Weak Factor Models. (2019). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1053.

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2019Subspace Clustering for Panel Data with Interactive Effects. (2019). Tony, Hon Keung ; Qu, Hao ; Gao, Wei ; Duan, Jiangtao. In: Papers. RePEc:arx:papers:1909.09928.

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2019Controlling risk and demand ambiguity in newsvendor models. (2019). Homem-De, Tito ; Bayraksan, Guzin ; Rahimian, Hamed. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:3:p:854-868.

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2019Practical and robust $t$-test based inference for synthetic control and related methods. (2019). Wüthrich, Kaspar ; Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1812.10820.

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2019Inference on average treatment effects in aggregate panel data settings. (2019). Zhu, Yinchu ; Wuthrich, Kaspar ; Chernozhukov, Victor. In: CeMMAP working papers. RePEc:ifs:cemmap:32/19.

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2019Factorial Network Models To Improve P2P Credit Risk Management. (2019). Ahelegbey, Daniel Felix ; Hadji-Misheva, Branka ; Giudici, Paolo. In: MPRA Paper. RePEc:pra:mprapa:92633.

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2019Latent factor models for credit scoring in P2P systems. (2019). Ahelegbey, Daniel Felix ; Hadji-Misheva, Branka ; Giudici, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:522:y:2019:i:c:p:112-121.

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2019A Community Microgrid Architecture with an Internal Local Market. (2019). Vicino, Antonio ; Giannitrapani, Antonio ; Paoletti, Simone ; Savelli, Iacopo ; Corn, Bertrand. In: Papers. RePEc:arx:papers:1810.09803.

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2019Integrated European intra-day electricity market: Rules, modeling and analysis. (2019). Bovo, Cristian ; Ilea, Valentin. In: Applied Energy. RePEc:eee:appene:v:238:y:2019:i:c:p:258-273.

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2019A community microgrid architecture with an internal local market. (2019). Savelli, Iacopo ; Cornelusse, Bertrand ; Vicino, Antonio ; Giannitrapani, Antonio ; Paoletti, Simone. In: Applied Energy. RePEc:eee:appene:v:242:y:2019:i:c:p:547-560.

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2019Production Ability and Economic Growth. (2019). Yildirim, Muhammed A ; Bustos, Sebastian. In: CID Working Papers. RePEc:cid:wpfacu:110a.

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2019Relatedness, Complexity and Local Growth. (2019). Maré, David ; Davies, Benjamin ; Mare, David C. In: Working Papers. RePEc:mtu:wpaper:19_01.

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2019Relatedness, Complexity and Local Growth. (2019). Maré, David ; Davies, Benjamin ; Mare, David C. In: IZA Discussion Papers. RePEc:iza:izadps:dp12223.

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2019Pricing without martingale measure. (2019). L'Epinette, Emmanuel ; Carassus, Laurence ; Baptiste, Julien. In: Papers. RePEc:arx:papers:1807.04612.

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2019Multivariate risk measures in the non-convex setting. (2019). Molchanov, Ilya ; Haier, Andreas . In: Papers. RePEc:arx:papers:1902.00766.

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2019Nonlinear expectations of random sets. (2019). Muhlemann, Anja ; Molchanov, Ilya. In: Papers. RePEc:arx:papers:1903.04901.

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2019Social Capital and Health: A Meta-Analysis. (2019). Reed, W. ; Xue, Xindong. In: Working Papers in Economics. RePEc:cbt:econwp:19/01.

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2019The Dozen Things Experimental Economists Should Do (More of). (2019). List, John ; Jimenez-Gomez, David ; Czibor, Eszter. In: Artefactual Field Experiments. RePEc:feb:artefa:00648.

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2019Publication Bias and Editorial Statement on Negative Findings. (2019). Brodeur, Abel ; Blanco-Perez, Cristina . In: IZA Discussion Papers. RePEc:iza:izadps:dp12493.

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2019How Can Experiments Play a Greater Role in Public Policy? 12 Proposals from an Economic Model of Scaling. (2019). List, John ; Suskind, Dana ; Lee, Min Sok ; MacKevicius, Claire ; Al-Ubaydli, Omar. In: Artefactual Field Experiments. RePEc:feb:artefa:00679.

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2019Approximation of the first passage time distribution for the birth-death processes. (2019). Gontis, Vygintas ; Kononovicius, Aleksejus. In: Papers. RePEc:arx:papers:1902.00924.

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2019Nonstationary response of a nonlinear economic cycle model under random disturbance. (2019). Zhao, Jun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:409-421.

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2019A model for stocks dynamics based on a non-Gaussian path integral. (2019). Paolinelli, Giovanni ; Arioli, Gianni. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:499-514.

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2019Simulation of Stylized Facts in Agent-Based Computational Economic Market Models. (2018). Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian. In: Papers. RePEc:arx:papers:1812.02726.

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2019Robust Mathematical Formulation and Implementation of Agent-Based Computational Economic Market Models. (2019). Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian. In: Papers. RePEc:arx:papers:1904.04951.

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2019Dynamic Pricing for Electric Vehicle Charging—A Literature Review. (2019). Limmer, Steffen. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:18:p:3574-:d:268478.

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2019Chinas Wirtschaft: Steigende Risiken. Analyse und Simulationsrechnungen. (2019). Jovicic, Sonja. In: IW-Reports. RePEc:zbw:iwkrep:242019.

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2019The Time Importance for Prospect Theory. (2019). Jos'e Cl'audio do Nascimento, . In: Papers. RePEc:arx:papers:1908.01709.

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2019The Value of Insider Information for Super--Replication with Quadratic Transaction Costs. (2019). Zouari, Jonathan ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1910.09855.

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2019Exponential utility maximization under model uncertainty for unbounded endowments. (2017). Bartl, Daniel. In: Papers. RePEc:arx:papers:1610.00999.

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2019Efficient hedging under ambiguity in continuous time. (2019). Tangpi, Ludovic. In: Papers. RePEc:arx:papers:1812.10876.

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2019Martingale Optimal Transport Duality. (2019). Soner, Mete H ; Promel, David J ; Kiiski, Matti ; Cheridito, Patrick. In: Papers. RePEc:arx:papers:1904.04644.

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2019Martingale transport with homogeneous stock movements. (2019). Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1908.10242.

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2019A closed formula for illiquid corporate bonds and an application to the European market. (2019). Nastasi, Emanuele ; Nassigh, Aldo ; Baviera, Roberto. In: Papers. RePEc:arx:papers:1901.06855.

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2019Merton’s portfolio problem including market frictions: A closed-form formula supporting the shadow price approach. (2019). Ciommi, Mariateresa ; Recchioni, Maria Cristina ; Mariani, Francesca. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:3:p:1178-1189.

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2019The other side of the Coin: Risks of the Libra Blockchain. (2019). Guegan, Dominique ; Abraham, Louis. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02325808.

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2019The other side of the Coin: Risks of the Libra Blockchain. (2019). Guegan, Dominique ; Abraham, Louis. In: Working Papers. RePEc:ven:wpaper:2019:30.

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2019The other side of the Coin: Risks of the Libra Blockchain. (2019). Guegan, Dominique ; Abraham, Louis. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:19015.

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2019Heuristic to Bayesian: The evolution of reasoning from childhood to adulthood. (2019). Kodaverdian, Niree ; Carrillo, Juan D ; Brocas, Isabelle ; Barash, Jori. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:159:y:2019:i:c:p:305-322.

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2019Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion. (2019). Zariphopoulou, Thaleia ; Strub, Moris S ; He, Xue Dong . In: Papers. RePEc:arx:papers:1904.01745.

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2019Dynamic Competitive Persuasion. (2019). Whitmeyer, Mark. In: Papers. RePEc:arx:papers:1811.11664.

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2019“Chicago Mercantile Exchange Bitcoin Futures: Volatility, Liquidity and Margin”. (2019). Lee, Jin Man ; Choi, Jin W ; Luft, Carl . In: SPOUDAI Journal of Economics and Business. RePEc:spd:journl:v:69:y:2019:i:3:p:55-74.

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2019Food security and conflict: Empirical challenges and future opportunities for research and policy making on food security and conflict. (2019). Martin-Shields, Charles ; Stojetz, Wolfgang. In: World Development. RePEc:eee:wdevel:v:119:y:2019:i:c:p:150-164.

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2019Modified Causal Forests for Estimating Heterogeneous Causal Effects. (2019). Lechner, Michael. In: Papers. RePEc:arx:papers:1812.09487.

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2019Modified Causal Forests for Estimating Heterogeneous Causal Effects. (2019). Lechner, Michael. In: Economics Working Paper Series. RePEc:usg:econwp:2019:01.

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2019Distributive cycles and endogenous technical change in a BoPC growth model. (2019). Sordi, Serena ; Dávila-Fernández, Marwil ; Davila-Fernandez, Marwil J. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:216-233.

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2019Path dependence, distributive cycles and export capacity in a BoPC growth model. (2019). Sordi, Serena ; Dávila-Fernández, Marwil ; Davila-Fernandez, Marwil J. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:50:y:2019:i:c:p:258-272.

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2019Fair Capital Risk Allocation. (2019). Schmidt, Thorsten ; Pitera, Marcin ; Cialenco, Igor ; Bielecki, Tomasz R. In: Papers. RePEc:arx:papers:1902.10044.

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2019Optimal insurance under rank-dependent expected utility. (2019). Ghossoub, Mario. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:51-66.

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2019Smart network based portfolios. (2019). Hitaj, Asmerilda ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1907.01274.

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2019Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection. (2019). Upadhye, Neelesh S ; Sen, Rituparna ; Sikaria, Shubhangi. In: Papers. RePEc:arx:papers:1911.07526.

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2019Metcalfes law and herding behaviour in the cryptocurrencies market. (2019). Pele, Daniel Traian ; Mazurencu-Marinescu, Miruna. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201916.

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2019Active and Passive Portfolio Management with Latent Factors. (2019). Jaimungal, Sebastian ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1903.06928.

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2019Dynamic Optimal Portfolios for Multiple Co-Integrated Assets. (2019). Papanicolaou, A ; Li, T N. In: Papers. RePEc:arx:papers:1908.02164.

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2019Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku . In: Papers. RePEc:arx:papers:1911.08662.

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2019Dual IV: A Single Stage Instrumental Variable Regression. (2019). Raj, Anant ; Lee, Si Kai ; Mehrjou, Arash ; Muandet, Krikamol. In: Papers. RePEc:arx:papers:1910.12358.

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2019Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5.

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2019Decentralization Estimators for Instrumental Variable Quantile Regression Models. (2019). Wüthrich, Kaspar ; Kaido, Hiroaki ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1812.10925.

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2019Deep Prediction of Investor Interest: a Supervised Clustering Approach. (2019). Challet, Damien ; Carlier, Laurent ; Barreau, Baptiste. In: Papers. RePEc:arx:papers:1909.05289.

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2019Deep Prediction Of Investor Interest: a Supervised Clustering Approach. (2019). Challet, Damien ; Carlier, Laurent ; Barreau, Baptiste. In: Working Papers. RePEc:hal:wpaper:hal-02276055.

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2019Determining the number of factors in a forecast model by a random matrix test: cryptocurrencies. (2019). Gonz, Graciela ; Medina, Andr'Es Garc'Ia. In: Papers. RePEc:arx:papers:1905.00545.

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2019Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump. (2019). Wang, Yiduan ; Zhang, BO. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:1012-1025.

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2019Shocking aspects of monetary policy on income inequality in the euro area. (2019). El Herradi, Mehdi ; Creel, Jerome. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/2okfbeuvhi9g2pirgpimtke7pn.

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2019Optimal Environmental Targeting in the Amazon Rainforest. (2019). Souza-Rodrigues, Eduardo ; Murphy, Joshua ; McMillan, Robert ; Assuncao, Juliano. In: Working Papers. RePEc:tor:tecipa:tecipa-631.

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2019Fighting for Not-So-Religious Souls: The Role of Religious Competition in Non-Religious Conflicts. (2019). Tchuente, Guy ; Galindo-Silva, Hector. In: Papers. RePEc:arx:papers:1910.07707.

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2019Financial Banking Dataset for Supervised Machine Learning Classification. (2019). Raicu, Irina . In: Informatica Economica. RePEc:aes:infoec:v:23:y:2019:i:1:p:37-49.

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2019Insider information and its relation with the arbitrage condition and the utility maximization problem. (2019). D'Auria, Bernardo ; Salmeron, Jose Antonio. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28805.

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2019Critical slowing down associated with critical transition and risk of collapse in cryptocurrency. (2018). Suweis, Samir ; Dodorico, Paolo ; Tu, Chengyi. In: Papers. RePEc:arx:papers:1806.08386.

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2019Identification of Regression Models with a Misclassified and Endogenous Binary Regressor. (2019). Kasahara, Hiroyuki ; Shimotsu, Katsumi. In: Papers. RePEc:arx:papers:1904.11143.

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2019Infinitesimal perturbation analysis for risk measures based on the Smith max-stable random field. (2019). Robert, Christian Y ; Koch, Erwan. In: Papers. RePEc:arx:papers:1812.05893.

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2019Comment les ruptures conventionnelles ont transformé le marché du travail. (2019). Maurin, Eric ; Batut, Cyprien. In: PSE Working Papers. RePEc:hal:psewpa:halshs-01983060.

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2019On Event Study Designs and Distributed-Lag Models: Equivalence, Generalization and Practical Implications. (2019). Siegloch, Sebastian ; Schmidheiny, Kurt. In: IZA Discussion Papers. RePEc:iza:izadps:dp12079.

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2019On Event Study Designs and Distributed-Lag Models: Equivalence, Generalization and Practical Implications. (2019). Siegloch, Sebastian ; Schmidheiny, Kurt. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7481.

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2019Effects of Maternal Work Incentives on Adolescent Social Behaviors. (2019). Reichman, Nancy E ; Schwartz-Soicher, Ofira ; Kalil, Ariel ; Corman, Hope ; Dave, Dhaval M. In: IZA Discussion Papers. RePEc:iza:izadps:dp12208.

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2019From Ultima Ratio to Mutual Consent: The Effects of Changing Employment Protection Doctrine. (2019). Maurin, Eric ; Batut, Cyprien. In: IZA Discussion Papers. RePEc:iza:izadps:dp12440.

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2019Term Length and Public Finances: The Case of U.S. Governors. (2019). Klarin, Jonas. In: Working Paper Series. RePEc:hhs:uunewp:2019_005.

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2019Abortion and mental health: The role of selection. (2019). Siflinger, B ; Janys, L. In: Health, Econometrics and Data Group (HEDG) Working Papers. RePEc:yor:hectdg:19/15.

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2019Can Economic Policies Reduce Deaths of Despair? Working Paper #104-19. (2019). Reich, Michael ; Lowenstein, Christopher A ; Godoey, Anna ; Dow, Wiiliam H. In: Institute for Research on Labor and Employment, Working Paper Series. RePEc:cdl:indrel:qt14f015df.

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2019Who Cares When You Close Down? The Effects of Primary Care Practice Closures on Patients. (2019). Bischof, Tamara ; Kaiser, Boris. In: Diskussionsschriften. RePEc:ube:dpvwib:dp1907.

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2019Fragmented division of labor and healthcare costs: Evidence from moves across regions. (2019). Rebitzer, James ; Frandsen, Brigham ; Agha, Leila. In: Journal of Public Economics. RePEc:eee:pubeco:v:169:y:2019:i:c:p:144-159.

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2019The wage-setting power of firms: Rent-sharing and monopsony in South Africa. (2019). Ihsaan, Bassier. In: WIDER Working Paper Series. RePEc:unu:wpaper:wp-2019-34.

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2019The Institutional Economics of Collective Waste Recovery Systems: an empirical investigation. (2019). Nozharov, Shteryo. In: Papers. RePEc:arx:papers:1901.00495.

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2019Continuous-time Duality for Super-replication with Transient Price Impact. (2019). Dolinsky, Yan ; Bank, Peter. In: Papers. RePEc:arx:papers:1808.09807.

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2019Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case. (2019). Bayraktar, Erhan ; Ekren, Ibrahim ; Caye, Thomas. In: Papers. RePEc:arx:papers:1811.06650.

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2019Option Pricing with Heavy-Tailed Distributions of Logarithmic Returns. (2019). Kocarev, Ljupco ; Utkovski, Zoran ; Stojkoski, Viktor ; Basnarkov, Lasko. In: Papers. RePEc:arx:papers:1807.01756.

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2019Theories and Practice of Agent based Modeling: Some practical Implications for Economic Planners. (2019). Gharib, Hossein ; Baghaei, Ali ; Seyeed, Seyeed Mostapha ; Maleki, Ali ; Shafia, Mohammad Ali ; Sabzian, Hossein. In: Papers. RePEc:arx:papers:1901.08932.

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2019Factor Investing: Hierarchical Ensemble Learning. (2019). Feng, Guanhao ; He, Jingyu. In: Papers. RePEc:arx:papers:1902.01015.

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2019Artificial Intelligence, Data, Ethics. An Holistic Approach for Risks and Regulation. (2019). Guegan, Dominique ; Bogroff, Alexis. In: Working Papers. RePEc:ven:wpaper:2019:19.

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2019Artificial Intelligence, Data, Ethics: An Holistic Approach for Risks and Regulation. (2019). Guegan, Dominique ; Bogroff, Alexis. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02181597.

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2019A Deep Learning Framework for Pricing Financial Instruments. (2019). Liu, Zhenming ; Cucuringu, Mihai ; Pizzoferrato, Andrea ; Zhang, Zheng ; Wu, Qiong. In: Papers. RePEc:arx:papers:1909.04497.

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2019Impact is not just volatility. (2019). Bouchaud, Jean-Philippe ; Benzaquen, Michael ; Mastromatteo, Iacopo ; Fr'ed'eric Bucci, . In: Papers. RePEc:arx:papers:1905.04569.

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2019Impact is not just volatility. (2019). Bouchaud, Jean-Philippe ; Benzaquen, Michael ; Mastromatteo, Iacopo ; Bucci, Frederic. In: Post-Print. RePEc:hal:journl:hal-02323182.

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2019Identification with Latent Choice Sets. (2019). Kamat, Vishal. In: TSE Working Papers. RePEc:tse:wpaper:123308.

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2019Investment behaviour and “bull & bear” dynamics: Modelling real and stock market interactions. (2019). Davila-Fernandez, Marwil J ; Sordi, Serena. In: Department of Economics University of Siena. RePEc:usi:wpaper:800.

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2019Denting the FRTB IMA computational challenge via Orthogonal Chebyshev Sliding Technique. (2019). Ruiz, Ignacio ; Laris, Mariano Zeron-Medina. In: Papers. RePEc:arx:papers:1911.10948.

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2019Multiple yield curve modelling with CBI processes. (2019). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1911.02906.

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2019Boosting High Dimensional Predictive Regressions with Time Varying Parameters. (2019). Ng, Serena ; Yousuf, Kashif. In: Papers. RePEc:arx:papers:1910.03109.

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2019calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty. (2019). Hu, Wentao. In: Papers. RePEc:arx:papers:1908.00982.

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2019Horizon-unbiased Investment with Ambiguity. (2019). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Papers. RePEc:arx:papers:1904.09379.

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2019Optimal Investment with Correlated Stochastic Volatility Factors. (2019). Fouque, Jean-Pierre ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:1908.07626.

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2019Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences. (2019). Chong, Wing Fung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:93-107.

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2019Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017. (2019). Stanuszek, Marek ; O'Swicecimka, Pawel ; Zd, Stanislaw Dro ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:1812.08548.

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2019Multiscale cross--correlations and triangular arbitrage opportunities in the Forex. (2019). Zd, Stanislaw Dro ; Wkatorek, Marcin ; O'Swikecimka, Pawel ; Gkebarowski, Robert. In: Papers. RePEc:arx:papers:1906.07491.

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2019Study of translational effect in Tagore’s Gitanjali using Chaos based Multifractal analysis technique. (2019). Samanta, Shukla ; Chakraborty, Sayantan ; Ghosh, Dipak. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:1343-1354.

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2019Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes. (2019). Stanley, Eugene H ; Shao, Hao-Lin ; Yang, Yan-Hong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:734-746.

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2019The role of bitcoin in well diversified portfolios: A comparative global study. (2019). Moro, Andrea ; Kajtazi, Anton. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:143-157.

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2019In search for stability in crypto-assets: are stablecoins the solution?. (2019). Pinna, Andrea ; Klemm, Jonas ; Bullmann, Dirk. In: Occasional Paper Series. RePEc:ecb:ecbops:2019230.

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2019Recreating Banking Networks under Decreasing Fixed Costs. (2019). Craig, Ben ; Paterlini, Sandra ; Maringer, Dietmar . In: Working Papers. RePEc:fip:fedcwq:192100.

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2019Dynamic Responses of Major Equity Markets to the US Fear Index. (2019). Raffiee, Kambiz ; Macri, Joseph ; Chatrath, Arjun ; Adrangi, Bahram. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:156-:d:270481.

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2019Bitcoin: competitor or complement to gold?. (2019). Wohar, Mark ; Selmi, Refk ; bouoiyour, jamal. In: Post-Print. RePEc:hal:journl:hal-01994187.

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2019The Changing Geopolitics in the Arab World: Implications of the 2017 Gulf Crisis for Business. (2019). bouoiyour, jamal ; Selmi, Refk. In: Post-Print. RePEc:hal:journl:hal-02071921.

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2019Global Crises and Gold as a Safe Haven: Evidence from Over Seven and a Half Centuries of Data. (2019). GUPTA, RANGAN ; Gil-Alana, Luis ; Cunado, Juncal ; Boubaker, Heni. In: Working Papers. RePEc:pre:wpaper:201941.

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2019Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201943.

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2019Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Working Papers. RePEc:pre:wpaper:201951.

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2019Moments-Based Spillovers across Gold and Oil Markets. (2019). Wang, Shixuan ; GUPTA, RANGAN ; Marco, Chi Keung ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:201966.

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2019Arab Geopolitics in Turmoil: Implications Of Qatar-Gulf Crisis for Business. (2019). bouoiyour, jamal ; Selmi, Refk. In: Working Papers. RePEc:erg:wpaper:1337.

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2019The Changing Geopolitics in the Arab World: Implications of the 2017 Gulf Crisis for Business. (2019). bouoiyour, jamal ; Selmi, Refk. In: Papers. RePEc:arx:papers:1903.08076.

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2019Low on Trust and High on Risks: Is Sidechain a Good Solution to Bitcoin Problems?. (2019). bouoiyour, jamal ; Hueber, Olivier ; Selmi, Refk. In: Working Papers. RePEc:hal:wpaper:hal-02348406.

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2019Closed Quantum Black-Scholes: Quantum Drift and the Heisenberg Equation of Motion. (2019). Hicks, Will. In: Papers. RePEc:arx:papers:1911.11475.

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2019Cheating with (Recursive) Models. (2019). Weiss, Yair ; Spiegler, Ran ; Eliaz, Kfir. In: Papers. RePEc:arx:papers:1911.01251.

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2019Sensitivity of Estimation Precision to Moments with an Application to a Model of Joint Retirement Planning of Couples. (2019). de Paula, Aureo ; Jorgensen, Thomas ; Honore, Bo E. In: CeMMAP working papers. RePEc:ifs:cemmap:36/19.

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2019Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm. (2019). Schoenmakers, J ; Kaledin, M ; Belomestny, D. In: Papers. RePEc:arx:papers:1906.09431.

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2019Unbiased deep solvers for parametric PDEs. (2019). Szpruch, Lukasz ; Siska, David ; Vidales, Marc Sabate. In: Papers. RePEc:arx:papers:1810.05094.

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2019Deep Reinforcement Learning for Trading. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:1911.10107.

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2019Unveiling the relation between herding and liquidity with trader lead-lag networks. (2019). Tantari, Daniele ; Lillo, Fabrizio ; Campajola, Carlo. In: Papers. RePEc:arx:papers:1909.10807.

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2019Factor models with many assets: strong factors, weak factors, and the two-pass procedure. (2019). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.04094.

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2019Identification of Dynamic Panel Binary Response Models. (2019). Tamer, Elie ; Ponomareva, Maria ; Khan, Shakeeb. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:979.

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2019Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model. (2019). Aguilar, Jean-Philippe ; Korbel, Jan . In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:36-:d:219656.

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2019Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. (2019). Brigo, Damiano ; Pallavicini, Andrea ; Francischello, Marco. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:2:p:788-805.

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2019Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin. (2019). Oliva, Immacolata ; Gnoatto, Alessandro ; Biagini, Francesca. In: Working Papers. RePEc:ver:wpaper:04/2019.

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2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Yue, YE ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1901.02691.

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2019Curriculum Learning in Deep Neural Networks for Financial Forecasting. (2019). Gajewar, Amita ; Koenecke, Allison. In: Papers. RePEc:arx:papers:1904.12887.

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2019Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy. (2019). Siokis, Fotios M ; Argyroudis, George S. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:576-586.

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2019Asset dynamics, liquidity and inequality in decentralized markets. (2019). Iacopetta, Maurizio ; Minetti, Raoul. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/2bedunljk79gt86fbf15pvnnc5.

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2019A Statistical Field Approach to Capital Accumulation. (2019). Wambst, Marc ; Lotz, Aileen ; Gosselin, Pierre. In: Papers. RePEc:arx:papers:1909.11635.

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2019A Statistical Field Approach to Capital Accumulation. (2019). Wambst, Marc ; Lotz, Aileen ; Gosselin, Pierre. In: Working Papers. RePEc:hal:wpaper:hal-02280634.

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2019An Economic Approach To The Self : The Dual Agent. (2019). Lotz, Aileen. In: Working Papers. RePEc:hal:wpaper:hal-02314663.

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2019Semi-Parametric Efficient Policy Learning with Continuous Actions. (2019). Chernozhukov, Victor ; Lewis, Greg ; Syrgkanis, Vasilis ; Demirer, Mert. In: CeMMAP working papers. RePEc:ifs:cemmap:34/19.

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2019Does the Estimation of the Propensity Score by Machine Learning Improve Matching Estimation? The Case of Germanys Programmes for Long Term Unemployed. (2019). Lechner, Michael ; Goller, Daniel ; Wolff, Joachim ; Moczall, Andreas. In: IZA Discussion Papers. RePEc:iza:izadps:dp12526.

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2019Does the estimation of the propensity score by machine learning improve matching estimation? The case of Germany’s programmes for long term unemployed. (2019). Lechner, Michael ; Goller, Daniel ; Wolff, Joachim ; Moczall, Andreas. In: Economics Working Paper Series. RePEc:usg:econwp:2019:10.

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2019Randomization tests of copula symmetry. (2019). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:1911.05307.

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2019Judgments of length in the economics laboratory: Are there brains in choice?. (2019). Smith, John ; Gussman, Steven ; Duffy, Sean. In: MPRA Paper. RePEc:pra:mprapa:93126.

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2019Testing the Drift-Diffusion Model. (2019). Strzalecki, Tomasz ; Fudenberg, Drew ; Strack, Philipp ; Newey, Whitney K. In: Papers. RePEc:arx:papers:1908.05824.

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2019Strength of preference and decision making under risk. (2019). Garagnani, Michele ; Alós-Ferrer, Carlos ; Alos-Ferrer, Carlos. In: ECON - Working Papers. RePEc:zur:econwp:330.

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2019Unobserved heterogeneity in auctions. (2019). Kitamura, Yuichi ; Haile, Philip A. In: Econometrics Journal. RePEc:oup:emjrnl:v:22:y:2019:i:1:p:c1-c19..

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2019On Optimal Transparency in Signaling. (2019). Whitmeyer, Mark. In: Papers. RePEc:arx:papers:1902.00976.

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2019Mechanism Design with Limited Commitment. (2019). Skreta, Vasiliki ; Doval, Laura. In: Papers. RePEc:arx:papers:1811.03579.

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2019Time-consistent conditional expectation under probability distortion. (2019). Zhang, Jianfeng ; Wong, Ting-Kam Leonard ; Ma, Jin. In: Papers. RePEc:arx:papers:1809.08262.

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2019On de-bunking ‘fake news’ in a post truth era: Why does the Planning Fallacy explanation for cost overruns fall short?. (2019). Ahiaga-Dagbui, Dominic ; Ika, Lavagnon A ; PEter, . In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:126:y:2019:i:c:p:397-408.

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2019On de-bunking “Fake News” in the post-truth era: How to reduce statistical error in research. (2019). Flyvbjerg, Bent ; Lovallo, Dan ; Holm, Mette Skamris ; Glenting, Carsten ; Garbuio, Massimo ; Cantarelli, Chantal ; Buhl, Soren ; van Wee, Bert ; Budzier, Alexander ; Ansar, Atif ; Stewart, Allison ; Ronnest, Arne ; Molin, Eric. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:126:y:2019:i:c:p:409-411.

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2019Autonomous Algorithmic Collusion: Q-Learning Under Sequantial Pricing. (2019). Klein, Timo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180056.

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2019Unveiling the factors of oil versus non-oil sources in affecting the global commodity prices: A combination of threshold and asymmetric modeling approach. (2019). Sek, Siok Kun. In: Energy. RePEc:eee:energy:v:176:y:2019:i:c:p:272-280.

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2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

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2019Testing for time-varying properties under misspecified conditional mean and variance. (2019). Ota, Yasushi ; Maki, Daiki . In: Papers. RePEc:arx:papers:1907.12107.

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2019Self-Persuasion: Evidence from Field Experiments at Two International Debating Competitions. (2019). Tripodi, Egon ; van der Weele, Joel J ; Schwardmann, Peter. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7946.

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2019Competing Models. (2019). Prat, Andrea ; Pai, Mallesh M ; Ortoleva, Pietro ; Montiel, Jose Luis. In: Papers. RePEc:arx:papers:1907.03809.

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2019Competing Models. (2019). Prat, Andrea ; Pai, Mallesh ; Ortoleva, Pietro ; Montiel, Jose Luis. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14066.

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2019Are trading invariants really invariant? Trading costs matter. (2019). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Lillo, Fabrizio ; Fr'ed'eric Bucci, . In: Papers. RePEc:arx:papers:1902.03457.

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2019Are trading invariants really invariant? Trading costs matter. (2019). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Lillo, Fabrizio ; Bucci, Frederic. In: Working Papers. RePEc:hal:wpaper:hal-02323318.

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2019Risk Management via Anomaly Circumvent: Mnemonic Deep Learning for Midterm Stock Prediction. (2019). Wang, Christina Dan ; Liu, Xiao-Yang. In: Papers. RePEc:arx:papers:1908.01112.

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2019Bank Net Interest Margin Forecasting and Capital Adequacy Stress Testing by Machine Learning Techniques. (2019). Luo, Zhongmin ; Brummelhuis, Raymond. In: MPRA Paper. RePEc:pra:mprapa:94779.

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2019Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy. (2019). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:1911.06206.

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2019Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy. (2019). Niko, Hauzenberger ; Pfarrhofer, Michael. In: Working Papers in Economics. RePEc:ris:sbgwpe:2019_006.

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2019Efficient Policy Learning. (2019). Athey, Susan ; Wager, Stefan. In: Papers. RePEc:arx:papers:1702.02896.

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2019Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115.

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2019Arbitrage-free conditions for implied volatility surface by Delta. (2019). Bao, Ying ; Zhao, Yanlong ; Wang, Ximei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:819-834.

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2019Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification. (2019). Schumacher, Christian ; Kaufmann, Sylvia. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:116-134.

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2019Forecast density combinations of dynamic models and data driven portfolio strategies. (2019). Hoogerheide, L ; Grassi, S ; Borowska, A ; Baturk, N ; van Dijk, H K. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:170-186.

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2019Achieving shrinkage in a time-varying parameter model framework. (2019). Fruhwirth-Schnatter, Sylvia ; Bitto, Angela. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:75-97.

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2019Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123.

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2019Sparse Bayesian vector autoregressions in huge dimensions. (2018). Kastner, Gregor ; Huber, Florian. In: Papers. RePEc:arx:papers:1704.03239.

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2019Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:221-240.

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2019Decomposing global yield curve co-movement. (2019). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph P. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:500-513.

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2019Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors. (2019). Nielsen, Morten ; MacKinnon, James ; Djogbenou, Antoine. In: CREATES Research Papers. RePEc:aah:create:2019-05.

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2019Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2019Conditional nonlinear expectations. (2019). Bartl, Daniel. In: Papers. RePEc:arx:papers:1612.09103.

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2019Duality for pathwise superhedging in continuous time. (2019). Tangpi, Ludovic ; Promel, David J ; Kupper, Michael ; Bartl, Daniel. In: Papers. RePEc:arx:papers:1705.02933.

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2019An adverse selection approach to power pricing. (2019). Possamai, Dylan ; Santib, Nicol'As Hern'Andez ; Elie, Romuald ; Ekeland, Ivar ; Alasseur, Cl'Emence . In: Papers. RePEc:arx:papers:1706.01934.

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2019Robust Pricing and Hedging around the Globe. (2019). Stebegg, Florian ; Herrmann, Sebastian. In: Papers. RePEc:arx:papers:1707.08545.

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2019On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2019Payoff Information and Learning in Signaling Games. (2019). He, Kevin ; Fudenberg, Drew. In: Papers. RePEc:arx:papers:1709.01024.

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2019Computational Methods for Martingale Optimal Transport problems. (2019). Obloj, Jan ; Guo, Gaoyue. In: Papers. RePEc:arx:papers:1710.07911.

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2019Identification with Latent Choice Sets. (2019). Kamat, Vishal. In: Papers. RePEc:arx:papers:1711.02048.

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2019Pathwise superhedging on prediction sets. (2019). Neufeld, Ariel ; Kupper, Michael ; Bartl, Daniel. In: Papers. RePEc:arx:papers:1711.02764.

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2019Polynomial Jump-Diffusion Models. (2019). Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1711.08043.

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2019Approximation methods for piecewise deterministic Markov processes and their costs. (2019). Thonhauser, Stefan ; Szolgyenyi, Michaela ; Leobacher, Gunther ; Kritzer, Peter. In: Papers. RePEc:arx:papers:1712.09201.

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2019Volatility options in rough volatility models. (2019). Tankov, Peter ; Jacquier, Antoine ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1802.01641.

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2019Computation of optimal transport and related hedging problems via penalization and neural networks. (2019). Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1802.08539.

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2019A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249.

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2019Inference on a Distribution from Noisy Draws. (2019). Weidner, Martin ; Jochmans, Koen. In: Papers. RePEc:arx:papers:1803.04991.

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2019Mislearning from Censored Data: The Gamblers Fallacy in Optimal-Stopping Problems. (2019). He, Kevin. In: Papers. RePEc:arx:papers:1803.08170.

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2019Panel Data Analysis with Heterogeneous Dynamics. (2019). Okui, Ryo ; Yanagi, Takahide. In: Papers. RePEc:arx:papers:1803.09452.

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2019Dealing with cross-country heterogeneity in panel VARs using finite mixture models. (2018). Huber, Florian. In: Papers. RePEc:arx:papers:1804.01554.

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2019Identification in Nonparametric Models for Dynamic Treatment Effects. (2019). Han, Sukjin. In: Papers. RePEc:arx:papers:1805.09397.

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2019Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. (2019). de Angelis, Tiziano. In: Papers. RePEc:arx:papers:1805.12035.

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2019Orthogonal Random Forest for Causal Inference. (2019). Syrgkanis, Vasilis ; Wu, Zhiwei Steven ; Oprescu, Miruna. In: Papers. RePEc:arx:papers:1806.03467.

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2019Perturbation analysis of sub/super hedging problems. (2018). Jacquier, Antoine ; Badikov, Sergey. In: Papers. RePEc:arx:papers:1806.03543.

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2019On the Identifying Content of Instrument Monotonicity. (2019). Kamat, Vishal. In: Papers. RePEc:arx:papers:1807.01661.

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2019A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2019The Role of the Propensity Score in Fixed Effect Models. (2019). Arkhangelsky, Dmitry ; Imbens, Guido. In: Papers. RePEc:arx:papers:1807.02099.

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2019Capital Regulation under Price Impacts and Dynamic Financial Contagion. (2019). Feinstein, Zachary. In: Papers. RePEc:arx:papers:1807.02711.

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2019At the Mercy of the Common Noise: Blow-ups in a Conditional McKean--Vlasov Problem. (2019). Sojmark, Andreas ; Ledger, Sean. In: Papers. RePEc:arx:papers:1807.05126.

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2019On the quasi-sure superhedging duality with frictions. (2019). Bayraktar, Erhan ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1809.07516.

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2019Chaos and Order in the Bitcoin Market. (2019). Solna, Knut ; Garnier, Josselin. In: Papers. RePEc:arx:papers:1809.08403.

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2019Financial accumulation implies ever-increasing wealth inequality. (2019). Biondi, Yuri ; Olla, Stefano . In: Papers. RePEc:arx:papers:1809.08681.

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2019Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time. (2019). Zhou, Zhou ; Huang, Yu-Jui. In: Papers. RePEc:arx:papers:1809.09243.

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2019Portfolio Optimization in Fractional and Rough Heston Models. (2019). Desmettre, Sascha ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1809.10716.

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2019Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372.

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2019Super-Replication of the Best Pairs Trade in Hindsight. (2019). Garivaltis, Alexander. In: Papers. RePEc:arx:papers:1810.02444.

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2019Time consistency for scalar multivariate risk measures. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1810.04978.

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2019Scaling Limits for Super--replication with Transient Price Impact. (2019). Dolinsky, Yan ; Bank, Peter. In: Papers. RePEc:arx:papers:1810.07832.

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2019Treatment Effect Models with Strategic Interaction in Treatment Decisions. (2019). Yanagi, Takahide ; Hoshino, Tadao. In: Papers. RePEc:arx:papers:1810.08350.

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2019Term structure modeling for multiple curves with stochastic discontinuities. (2019). Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1810.09882.

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2019Enhancing Stock Movement Prediction with Adversarial Training. (2019). Chua, Tat-Seng ; Sun, Maosong ; Ding, JI ; He, Xiangnan ; Chen, Huimin ; Feng, Fuli. In: Papers. RePEc:arx:papers:1810.09936.

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2019Robust risk aggregation with neural networks. (2019). Pohl, Mathias ; Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1811.00304.

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2019Continuity of Utility Maximization under Weak Convergence. (2019). Bayraktar, Erhan ; Guo, Jia ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1811.01420.

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2019Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case. (2019). Bayraktar, Erhan ; Ekren, Ibrahim ; Caye, Thomas. In: Papers. RePEc:arx:papers:1811.06650.

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2019On the martingale property in the rough Bergomi model. (2019). Gassiat, Paul. In: Papers. RePEc:arx:papers:1811.10935.

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2019Uniqueness for contagious McKean--Vlasov systems in the weak feedback regime. (2018). Sojmark, Andreas ; Ledger, Sean. In: Papers. RePEc:arx:papers:1811.12356.

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2019Doubly Robust Difference-in-Differences Estimators. (2019). Sant'Anna, Pedro ; Zhao, Jun B. In: Papers. RePEc:arx:papers:1812.01723.

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2019Improved Inference on the Rank of a Matrix. (2019). Fang, Zheng ; Chen, Qihui. In: Papers. RePEc:arx:papers:1812.02337.

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2019Asymptotic Filter Behavior for High-Frequency Expert Opinions in a Market with Gaussian Drift. (2019). Wunderlich, Ralf ; Kondakji, Hakam ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:1812.03453.

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2019Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives. (2019). Loeper, Gregoire ; Guo, Ivan. In: Papers. RePEc:arx:papers:1812.03526.

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2018Fast and Wild: Bootstrap Inference in Stata Using boottest. (2018). Webb, Matthew ; Roodman, David ; Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2018-34.

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2018Uniform Post Selection Inference for LAD Regression and Other Z-estimation problems. (2018). Chernozhukov, Victor ; Kato, Kengo ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1304.0282.

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2018Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092.

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2018Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes. (2018). Melly, Blaise ; Chernozhukov, Victor ; Wuthrich, Kaspar ; Fern, Iv'An. In: Papers. RePEc:arx:papers:1608.05142.

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2018Model Selection for Treatment Choice: Penalized Welfare Maximization. (2018). Tabord-Meehan, Max ; Mbakop, Eric. In: Papers. RePEc:arx:papers:1609.03167.

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2018Optimal Shrinkage Estimator for High-Dimensional Mean Vector. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:1610.09292.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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2018Multi-Dimensional Pass-Through and Welfare Measures under Imperfect Competition. (2018). Fabinger, Michal ; Adachi, Takanori. In: Papers. RePEc:arx:papers:1702.04967.

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2018Incorporating Signals into Optimal Trading. (2018). LEHALLE, Charles-Albert ; Neuman, Eyal. In: Papers. RePEc:arx:papers:1704.00847.

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2018Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models. (2018). Reisinger, Christoph ; Cozma, Andrei . In: Papers. RePEc:arx:papers:1706.07375.

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2018Reduced-form framework under model uncertainty. (2018). Zhang, Yinglin ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1707.04475.

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2018Equilibrium Returns with Transaction Costs. (2018). Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:1707.08464.

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2018Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. (2018). Wildman, Mackenzie ; Sturm, Stephan ; Schaanning, Eric ; Rudloff, Birgit ; Pang, Weijie ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1708.01561.

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2018Technology networks: the autocatalytic origins of innovation. (2018). Zeppini, Paolo ; Room, Graham ; Napolitano, Lorenzo ; Pugliese, Emanuele ; Evangelou, Evangelos. In: Papers. RePEc:arx:papers:1708.03511.

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2018VIX-linked fees for GMWBs via Explicit Solution Simulation Methods. (2018). MacKay, Anne ; Kouritzin, Michael A. In: Papers. RePEc:arx:papers:1708.06886.

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2018The Strength of Absent Ties: Social Integration via Online Dating. (2018). Ortega, Josue ; Hergovich, Philipp. In: Papers. RePEc:arx:papers:1709.10478.

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2018Large deviation principle for Volterra type fractional stochastic volatility models. (2018). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:1710.10711.

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2018Simulating the deep decarbonisation of residential heating for limiting global warming to 1.5C. (2018). Mercure, Jean-Francois ; Chewpreecha, Unnada ; Pollitt, Hector ; Knobloch, Florian. In: Papers. RePEc:arx:papers:1710.11019.

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2018The perverse incentive for insurance instruments that are derivatives: solving the jackpot problem with a clawback lien for default insurance notes. (2018). Hanley, Brian P. In: Papers. RePEc:arx:papers:1711.02600.

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2018Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. (2018). Zhou, Chao ; Liang, Gechun ; Yang, Zhou. In: Papers. RePEc:arx:papers:1711.02939.

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2018Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. (2018). Yu, Xiang ; Liao, Huafu ; Bo, Lijun. In: Papers. RePEc:arx:papers:1712.05676.

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2018Robust expected utility maximization with medial limits. (2018). Kupper, Michael ; Cheridito, Patrick ; Bartl, Daniel. In: Papers. RePEc:arx:papers:1712.07699.

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2018Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time. (2018). Zhou, Zhou ; Huang, Yu-Jui. In: Papers. RePEc:arx:papers:1712.07806.

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2018Dynamic Clearing and Contagion in Financial Networks. (2018). Feinstein, Zachary ; Bernstein, Alex ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1801.02091.

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2018Revealed Price Preference: Theory and Empirical Analysis. (2018). Stoye, Jörg ; Quah, John ; Deb, Rahul ; Kitamura, Yuichi. In: Papers. RePEc:arx:papers:1801.02702.

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2018Consistent Valuation Across Curves Using Pricing Kernels. (2018). Mahomed, Obeid ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.04994.

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2018Generalised Lyapunov Functions and Functionally Generated Trading Strategies. (2018). Xie, Kangjianan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1801.07817.

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2018Target volatility option pricing in lognormal fractional SABR model. (2018). Wang, Tai-Ho ; Tudor, Sebastian ; Chatterjee, Rupak ; Alos, Elisa. In: Papers. RePEc:arx:papers:1801.08215.

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2018Rational Models for Inflation-Linked Derivatives. (2018). Sloth, David ; Skovmand, David ; Macrina, Andrea ; Dam, Henrik. In: Papers. RePEc:arx:papers:1801.08804.

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2018Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures. (2018). Ziel, Florian ; Steinert, Rick. In: Papers. RePEc:arx:papers:1801.10583.

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2018The Power of Trading Polarity: Evidence from China Stock Market Crash. (2018). Wang, Huiwen ; Zhao, Jichang ; Lu, Shan. In: Papers. RePEc:arx:papers:1802.01143.

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2018The sum of log-normal variates in geometric Brownian motion. (2018). Adamou, Alexander ; Peters, Ole. In: Papers. RePEc:arx:papers:1802.02939.

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2018Asset Price Volatility and Price Extrema. (2018). Caginalp, Carey. In: Papers. RePEc:arx:papers:1802.04774.

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2018Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis. (2018). Kojaku, Sadamori ; Masuda, Naoki ; Caldarelli, Guido ; Cimini, Giulio. In: Papers. RePEc:arx:papers:1802.05139.

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2018Extracting the multi-timescale activity patterns of online financial markets. (2018). Kobayashi, Teruyoshi ; Ferrara, Emilio ; Sapienza, Anna. In: Papers. RePEc:arx:papers:1802.07405.

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2018Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations. (2018). Guhr, Thomas ; Muhlbacher, Andreas. In: Papers. RePEc:arx:papers:1803.00261.

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2018Classification of cryptocurrency coins and tokens by the dynamics of their market capitalisations. (2018). Sornette, Didier ; Wheatley, Spencer ; Wu, KE. In: Papers. RePEc:arx:papers:1803.03088.

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2018Robust utility maximization in markets with transaction costs. (2018). Rasonyi, Miklos ; Chau, Huy N. In: Papers. RePEc:arx:papers:1803.04213.

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2018Financial Contagion in a Generalized Stochastic Block Model. (2018). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:1803.08169.

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2018Explicit description of all deflators for markets under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1803.10128.

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2018Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects. (2018). Sun, Liyang ; Abraham, Sarah. In: Papers. RePEc:arx:papers:1804.05785.

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2018Arbitrage-free pricing of American options in nonlinear markets. (2018). Rutkowski, Marek ; Nie, Tianyang ; Kim, Edward. In: Papers. RePEc:arx:papers:1804.10753.

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2018A Dynamical Systems Approach to Cryptocurrency Stability. (2018). Caginalp, Carey. In: Papers. RePEc:arx:papers:1805.03143.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2018Network-based indicators of Bitcoin bubbles. (2018). Tessone, Claudio J ; Squartini, Tiziano ; Nicol'o Vallarano, ; Saggese, Pietro ; Restocchi, Valerio ; Pozzana, Iacopo ; Mottes, Francesco ; Lazo, Jorge F ; Campajola, Carlo ; Bovet, Alexandre. In: Papers. RePEc:arx:papers:1805.04460.

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2018Data-Driven Investment Decision-Making: Applying Moores Law and S-Curves to Business Strategies. (2018). Magee, Christopher L ; Benson, Christopher L. In: Papers. RePEc:arx:papers:1805.06339.

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2018Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Papers. RePEc:arx:papers:1805.08454.

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2018Impact of Contingent Payments on Systemic Risk in Financial Networks. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1805.08544.

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2018Anticipating cryptocurrency prices using machine learning. (2018). Baronchelli, Andrea ; Aiello, Luca Maria ; Elbahrawy, Abeer ; Alessandretti, Laura. In: Papers. RePEc:arx:papers:1805.08550.

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2018Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs. (2018). Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:1805.09996.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2017Accelerators in Macroeconomics: Comparison of Discrete and Continuous Approaches. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: American Journal of Economics and Business Administration. RePEc:abk:jajeba:ajebasp.2017.47.55.

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2017The State of Applied Econometrics: Causality and Policy Evaluation. (2017). Imbens, Guido ; Athey, Susan. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:2:p:3-32.

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2017Black-Scholes in a CEV random environment. (2017). Jacquier, Antoine ; Roome, Patrick. In: Papers. RePEc:arx:papers:1503.08082.

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2017High-frequency limit of Nash equilibria in a market impact game with transient price impact. (2017). Schied, Alexander ; Zhang, Tao ; Strehle, Elias . In: Papers. RePEc:arx:papers:1509.08281.

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2017Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2017). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097.

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2017Stochastic control for a class of nonlinear kernels and applications. (2017). Possamai, Dylan ; Zhou, Chao ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1510.08439.

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2017Equilibrium pricing under relative performance concerns. (2017). Bielagk, Jana ; Reis, Goncalo Dos ; Lionnet, Arnaud . In: Papers. RePEc:arx:papers:1511.04218.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2017Tukeys transformational ladder for portfolio management. (2017). Ernst, Philip ; Miao, Yinsen ; Thompson, James. In: Papers. RePEc:arx:papers:1603.06050.

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2017Optimal Liquidation under Stochastic Liquidity. (2017). Becherer, Dirk ; Frentrup, Peter ; Bilarev, Todor. In: Papers. RePEc:arx:papers:1603.06498.

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2017Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets. (2017). Hendricks, Dieter. In: Papers. RePEc:arx:papers:1603.06805.

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2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1603.07020.

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2017A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective. (2017). Bielecki, Tomasz R ; Pitera, Marcin ; Cialenco, Igor. In: Papers. RePEc:arx:papers:1603.09030.

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2017Market Integration in the Prewar Japanese Rice Markets. (2017). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio. In: Papers. RePEc:arx:papers:1604.00148.

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2017Factor Models for Cancer Signatures. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1604.08743.

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2017The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:1605.00868.

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2017High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering. (2017). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1605.03653.

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2017Skorohods representation theorem and optimal strategies for markets with frictions. (2017). Chau, Huy N. In: Papers. RePEc:arx:papers:1606.07311.

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2017On the Optimal Management of Public Debt: a Singular Stochastic Control Problem. (2017). Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1607.04153.

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2017On optimal investment with processes of long or negative memory. (2017). Chau, Huy N ; Rasonyi, Miklos. In: Papers. RePEc:arx:papers:1608.00768.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2017Approximate pricing of European and Barrier claims in a local-stochastic volatility setting. (2017). Barger, Weston ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1610.05728.

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2017Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2017). Horst, Ulrich ; Graewe, Paulwin. In: Papers. RePEc:arx:papers:1611.03435.

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2017Convex functions on dual Orlicz spaces. (2017). Delbaen, Freddy ; Owari, Keita . In: Papers. RePEc:arx:papers:1611.06218.

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2017A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1612.01302.

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2017Cross-impact and no-dynamic-arbitrage. (2017). Schneider, Michael ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1612.07742.

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2017Fractional Dynamics of Natural Growth and Memory Effect in Economics. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1612.09060.

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2017Political elections and uncertainty -Are BRICS markets equally exposed to Trumps agenda?. (2017). Selmi, Refk ; bouoiyour, jamal. In: Papers. RePEc:arx:papers:1701.02182.

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2017Trading strategies for stock pairs regarding to the cross-impact cost. (2017). Wang, Shanshan. In: Papers. RePEc:arx:papers:1701.03098.

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2017On VIX Futures in the rough Bergomi model. (2017). Jacquier, Antoine ; Muguruza, Aitor ; Martini, Claude. In: Papers. RePEc:arx:papers:1701.04260.

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2017Existence, uniqueness and stability of optimal portfolios of eligible assets. (2017). Baes, Michel ; Munari, Cosimo ; Koch-Medina, Pablo. In: Papers. RePEc:arx:papers:1702.01936.

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2017A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus. (2017). Imai, Yuto ; Arai, Takuji. In: Papers. RePEc:arx:papers:1702.07556.

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2017Reverse stress testing interbank networks. (2017). Caccioli, Fabio ; Grigat, Daniel . In: Papers. RePEc:arx:papers:1702.08744.

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2017Quantifying Chinas Regional Economic Complexity. (2017). Gao, Jian ; Zhou, Tao. In: Papers. RePEc:arx:papers:1703.01292.

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2017Towards a probability-free theory of continuous martingales. (2017). Shafer, Glenn ; Vovk, Vladimir. In: Papers. RePEc:arx:papers:1703.08715.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Papers. RePEc:arx:papers:1703.10639.

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2017A Joint Quantile and Expected Shortfall Regression Framework. (2017). Bayer, Sebastian ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1704.02213.

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2017Fast Quantization of Stochastic Volatility Models. (2017). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Joerg ; Rudd, Ralph. In: Papers. RePEc:arx:papers:1704.06388.

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2017Sensitivity analysis of the utility maximization problem with respect to model perturbations. (2017). Sirbu, Mihai ; Mostovyi, Oleksii. In: Papers. RePEc:arx:papers:1705.08291.

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2017Moral hazard in welfare economics: on the advantage of Planners advices to manage employees actions. (2017). Mastrolia, Thibaut. In: Papers. RePEc:arx:papers:1706.01254.

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2017Exploring the determinants of Bitcoins price: an application of Bayesian Structural Time Series. (2017). Poyser, Obryan. In: Papers. RePEc:arx:papers:1706.01437.

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2017Econophysics of Macro-Finance: Local Multi-fluid Models and Surface-like Waves of Financial Variables. (2017). Olkhov, Victor. In: Papers. RePEc:arx:papers:1706.01748.

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2017Open Source Fundamental Industry Classification. (2017). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1706.04210.

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2017Non-Local Macroeconomic Transactions and Credits-Loans Surface-Like Waves. (2017). Olkhov, Victor. In: Papers. RePEc:arx:papers:1706.07758.

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2017Risk Model Based on General Compound Hawkes Process. (2017). Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1706.09038.

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2017An Optimal Execution Problem with S-shaped Market Impact Functions. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1706.09224.

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2017Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations. (2017). Grossinho, Maria ; Sevcovic, Daniel ; Kord, Yaser Faghan . In: Papers. RePEc:arx:papers:1707.00356.

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2017Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model. (2017). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:1707.00899.

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2017Instantaneous order impact and high-frequency strategy optimization in limit order books. (2017). Schervish, Mark ; Gonzalez, Federico. In: Papers. RePEc:arx:papers:1707.01167.

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More than 50 citations. List broken...

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YearCiting document
2016Arbitrage without borrowing or short selling?. (2016). Pakkanen, Mikko S ; Lukkarinen, Jani. In: CREATES Research Papers. RePEc:aah:create:2016-13.

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2016Efficient Bailouts?. (2016). Bianchi, Javier. In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:12:p:3607-59.

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2016Tails of weakly dependent random vectors. (2016). TANKOV, PETER. In: Papers. RePEc:arx:papers:1402.4683.

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2016A statistical physics analysis of expenditure in the UK. (2016). Oltean, Elvis ; Kusmartsev, Fedor . In: Papers. RePEc:arx:papers:1410.3865.

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2016Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. (2016). Kramkov, Dmitry ; Pulido, Sergio. In: Papers. RePEc:arx:papers:1410.6144.

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2016Regulatory Capital Modelling for Credit Risk. (2016). Rutkowski, Marek ; Tarca, Silvio . In: Papers. RePEc:arx:papers:1412.1183.

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2016A weak law of large numbers for a limit order book model with fully state dependent order dynamics. (2016). Horst, Ulrich ; Kreher, Dorte . In: Papers. RePEc:arx:papers:1502.04359.

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2016Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis. (2016). Capponi, Agostino ; Sturm, Stephan ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:1502.06106.

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2016Leveraging the network: a stress-test framework based on DebtRank. (2016). Caldarelli, Guido ; Gurciullo, Stefano ; Battiston, Stefano ; D'Errico, Marco. In: Papers. RePEc:arx:papers:1503.00621.

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2016Pathwise super-replication via Vovks outer measure. (2016). Alexander M. G. Cox, ; Perkowski, Nicolas ; Beiglbock, Mathias ; Huesmann, Martin ; Promel, David J.. In: Papers. RePEc:arx:papers:1504.03644.

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2016Small-time asymptotics for Gaussian self-similar stochastic volatility models. (2016). Gulisashvili, Archil ; Zhang, Xin ; Viens, Frederi . In: Papers. RePEc:arx:papers:1505.05256.

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2016Optimal Investment to Minimize the Probability of Drawdown. (2016). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R.. In: Papers. RePEc:arx:papers:1506.00166.

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2016Complete Duality for Martingale Optimal Transport on the Line. (2016). Beiglbock, Mathias ; Touzi, Nizar ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1507.00671.

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2016Minimizing the Probability of Lifetime Drawdown under Constant Consumption. (2016). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R. In: Papers. RePEc:arx:papers:1507.08713.

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2016A recursive algorithm for multivariate risk measures and a set-valued Bellmans principle. (2016). Feinstein, Zachary ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1508.02367.

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2016Semi-static completeness and robust pricing by informed investors. (2016). Acciaio, Beatrice ; Larsson, Martin. In: Papers. RePEc:arx:papers:1510.01890.

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2016Pathwise no-arbitrage in a class of Delta hedging strategies. (2016). Schied, Alexander ; Voloshchenko, Iryna . In: Papers. RePEc:arx:papers:1511.00026.

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2016Magic points in finance: Empirical integration for parametric option pricing. (2016). Gass, Maximilian ; Mair, Maximilian ; Glau, Kathrin. In: Papers. RePEc:arx:papers:1511.00884.

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2016A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions. (2016). Liu, Xin ; Kulkarni, Vidyadhar G ; Gong, QI. In: Papers. RePEc:arx:papers:1511.04096.

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2016Intragroup transfers, intragroup diversification and their risk assessment. (2016). Schmutz, Michael ; Molchanov, Ilya ; Haier, Andreas . In: Papers. RePEc:arx:papers:1511.06320.

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2016Integration with respect to model-free price paths with jumps. (2016). Lochowski, Rafal M. In: Papers. RePEc:arx:papers:1511.08194.

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2016Purely pathwise probability-free Ito integral. (2016). Vovk, Vladimir. In: Papers. RePEc:arx:papers:1512.01698.

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2016Consistent Re-Calibration of the Discrete-Time Multifactor Vasi\v{c}ek Model. (2016). Teichmann, Josef ; Harms, Philipp ; Stefanovits, David ; Wuthrich, Mario V. In: Papers. RePEc:arx:papers:1512.06454.

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2016A unified view of LIBOR models. (2016). Glau, Kathrin ; Papapantoleon, Antonis ; Grbac, Zorana. In: Papers. RePEc:arx:papers:1601.01352.

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2016Deep Learning for Limit Order Books. (2016). Sirignano, Justin. In: Papers. RePEc:arx:papers:1601.01987.

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2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:1601.05199.

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2016Empirical Methods for Dynamic Power Law Distributions in the Social Sciences. (2016). Fernholz, Ricardo. In: Papers. RePEc:arx:papers:1602.00159.

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2016Model-Free Discretisation-Invariant Swap Contracts. (2016). Alexander, Carol ; Rauch, Johannes. In: Papers. RePEc:arx:papers:1602.00235.

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2016Tail Risk Premia for Long-Term Equity Investors. (2016). Rauch, Johannes ; Alexander, Carol. In: Papers. RePEc:arx:papers:1602.00865.

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2016On clustering financial time series: a need for distances between dependent random variables. (2016). Marti, Gautier ; Andler, S'Ebastien ; Donnat, Philippe ; Nielsen, Frank . In: Papers. RePEc:arx:papers:1603.07822.

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2016Relativistic Quantum Finance. (2016). Romero, Juan M ; Zubieta-Mart, Ilse B. In: Papers. RePEc:arx:papers:1604.01447.

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2016The statistical significance of multivariate Hawkes processes fitted to limit order book data. (2016). Martins, Roger ; Hendricks, Dieter. In: Papers. RePEc:arx:papers:1604.01824.

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2016The Topology of African Exports: emerging patterns on spanning trees. (2016). Ara, Tanya ; Ferreira, Ennes M. In: Papers. RePEc:arx:papers:1604.03522.

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2016Stochastic Perron for Stochastic Target Problems. (2016). Bayraktar, Erhan ; Li, Jiaqi. In: Papers. RePEc:arx:papers:1604.03906.

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2016Arbitrage without borrowing or short selling?. (2016). Lukkarinen, Jani ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1604.07690.

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2016Regrets, learning and wisdom. (2016). Challet, Damien. In: Papers. RePEc:arx:papers:1605.01052.

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2016Stochastic Portfolio Theory: A Machine Learning Perspective. (2016). Samo, Yves-Laurent Kom ; Vervuurt, Alexander . In: Papers. RePEc:arx:papers:1605.02654.

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2016On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums. (2016). Marciniak, Ewa ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1605.04584.

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2016Trading VIX Futures under Mean Reversion with Regime Switching. (2016). Li, Jiao. In: Papers. RePEc:arx:papers:1605.07945.

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2016The space of outcomes of semi-static trading strategies need not be closed. (2016). Larsson, Martin ; Acciaio, Beatrice ; Schachermayer, Walter. In: Papers. RePEc:arx:papers:1606.00631.

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2016Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03590.

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2016Recursive utility optimization with concave coefficients. (2016). Ji, Shaolin ; Shi, Xiaomin . In: Papers. RePEc:arx:papers:1607.00721.

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2016A probability-free and continuous-time explanation of the equity premium and CAPM. (2016). Vovk, Vladimir ; Shafer, Glenn . In: Papers. RePEc:arx:papers:1607.00830.

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2016Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?. (2016). Peters, Gareth W ; Chapelle, Ariane ; Hassani, Bertrand ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1607.02319.

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2016Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory. (2016). Subochev, Andrey. In: Papers. RePEc:arx:papers:1607.02421.

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2016Multiple risk factor dependence structures: Distributional properties. (2016). Furman, Edward ; Su, Jianxi. In: Papers. RePEc:arx:papers:1607.04739.

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2016Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi . In: Papers. RePEc:arx:papers:1608.02365.

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2016Volatility and Arbitrage. (2016). Fernholz, Robert E ; Ruf, Johannes ; Karatzas, Ioannis. In: Papers. RePEc:arx:papers:1608.06121.

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2016Rethinking Financial Contagion. (2016). Visentin, Gabriele ; D'Errico, Marco ; Battiston, Stefano. In: Papers. RePEc:arx:papers:1608.07831.

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2016The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1609.02108.

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