We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...

We investigate economic fluctuations in 16 regions of Korea by decomposing them into national common and cluster factors using an endogenously clustered dynamic factor model. Each factor is extracted using regional economic activity variables (output, consumption, and investment), and clusters...

The Lux--Marchesi model has been modified to include hierarchical interactions to enable the examination of the effect of hierarchies on the formation of speculative bubbles. The Lux--Marchesi model includes two types of traders:~fundamentalists and chartists, with the latter classified as...

We investigate whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk. We first analyse this problem through the lens of continuous-time financial mathematics and derive an upper bound for not-arbitrage fee income that...

This study replicates the paper "Brown, J. P., Lambert, D. M., & Wojan, T. R. (2019). The effect of the conservation reserve program on rural economies: deriving a statistical verdict from a null finding. American Journal of Agricultural Economics , 101 (2), 528-540" and their procedure for...