Zobrazeno 1 - 10
of 177
pro vyhledávání: '"Prokhorov, Artem"'
We study the impact of exchange rate volatility on cost efficiency and market structure in a cross-section of banks that have non-trivial exposures to foreign currency (FX) operations. We use unique data on quarterly revaluations of FX assets and lia
Externí odkaz:
http://arxiv.org/abs/2408.05688
We use cutting-edge mixed integer optimization (MIO) methods to develop a framework for detection and estimation of structural breaks in time series regression models. The framework is constructed based on the least squares problem subject to a penal
Externí odkaz:
http://arxiv.org/abs/2408.05665
We develop and apply a new online early warning system (EWS) for what is known in machine learning as concept drift, in economics as a regime shift and in statistics as a change point. The system goes beyond linearity assumed in many conventional met
Externí odkaz:
http://arxiv.org/abs/2404.03319
Autor:
Li, Zhaolin, Prokhorov, Artem
Many management decisions involve accumulated random realizations for which the expected value and variance are assumed to be known. We revisit the tail behavior of such quantities when individual realizations are independent, and we develop new shar
Externí odkaz:
http://arxiv.org/abs/2404.02400
We consider a general multivariate model where univariate marginal distributions are known up to a parameter vector and we are interested in estimating that parameter vector without specifying the joint distribution, except for the marginals. If we a
Externí odkaz:
http://arxiv.org/abs/2401.17334
Publikováno v:
Essays in Honor of Subal Kumbhakar
Publikováno v:
In International Journal of Educational Research 2024 124
Publikováno v:
In Journal of Empirical Finance March 2023 71:29-50
Publikováno v:
In Journal of Banking and Finance March 2023 148