We develop a backward-in-time machine learning algorithm that uses a sequence of neural networks to solve optimal switching problems in energy production, where electricity and fossil fuel prices are subject to stochastic jumps. We then apply this algorithm to a variety of energy scheduling...

We present theorems on the existence of Berk-Nash equilibria in misspecified Markov Decision Processes with infinite action and state spaces. We extend the results of Esponda-Pouzo (2021) for finite state and action spaces to compact action spaces and sigma-compact state spaces with possibly...

This paper proposes maximum (quasi)likelihood estimation for high dimensional factor models with regime switching in the loadings. The model parameters are estimated jointly by EM algorithm, which in the current context only requires iteratively calculating regime probabilities and principal...

Implicit gender bias may affect hiring and promotion decisions, implying inefficiencies in the outcome of selection processes. We focus on the dynamics of gender bias when selecting candidates for a committee or position, and obtain the long-run female share as well as the conditions for a glass...

This paper investigates the evolution of business cycles synchronization in Latin America since the 1990ʹs. To do so, a Vector Autoregressive model is fed, alternatively, with the countries' Industrial Production Indexes and with these series filtered by the US financial conditions index, which...

This paper applies a Qual VAR approach to generate a continuous banking crisis indicator from an underlying latent variable using a Markov Chain Monte Carlo algorithm. Four decades of banking crises are assessed by accounting for the evolutionary nature of precursors, as measured through...

OU processes with long term drifts that are Tempered Fractional Lévy Processes reduce to a d+1 dimensional Markovian system when the parameter d is an integer. Markovian optimization problems are formulated for the proportion of a dollar to be invested in a risky stock following the specified...

This paper investigates the weekly stock market data of the Hungarian stock index BUX, the Czech stock index PX and the Polish stock index WIG20 spanning from January 7, 2001 to April 18, 2021. The period of more than 20 years enabled to analyse the behaviour of returns and their volatility...