In the increasingly connected world, many systems are more or less coupled with each other in various ways. A typical example is the cross-market portfolio management, where the products of heterogeneous markets are selected and configured for investment. In such cross-market problems, one...

This paper uses contemporaneous monetary data to carry out econometric tests of the "equilibrium" approach to modeling the relation between monetary disturbances and macroeconomic fluctuations. The theoretical analysis introduces into an equilibrium macroeconomic model the availability of...

We provide a survey of recent results on model calibration by Optimal Transport. We present the general framework and then discuss the calibration of local, and local-stochastic, volatility models to European options, the joint VIX/SPX calibration problem as well as calibration to some...

The Heterogeneous Autoregressive (HAR) model of Corsi (2009) has become the benchmark model for predicting realized volatility given its simplicity and consistent empirical performance. Many modifications and extensions to the original model have been proposed that often only provide incremental...

We consider an ordinal optimization problem, where a decision maker learns the statistical characteristics of a number of systems using sequential sampling in order to ultimately determine the "best" one (with high probability). In so doing, the decision maker postulates a parametric model which...

I investigate how firms' environmental responsibilities affect expected stock returns. Using the environmental pillar score from the ASSET4 ESG dataset, I find that greener stocks have lower expected returns. This greenium remains significant after controlling for systemic and idiosyncratic...

This paper studies quantitative implications of model economies that exhibit multiple equilibria. The goal is to assess two interrelated issues. First, do economies with multiple equilibria have falsifiable predictions? Second, is identification possible in economies that exhibit multiple...

European Union Guidelines have been for long the cornerstone of the evaluation of European funding for projects. An important aspect of this method is the general exclusion of taxation from the computation. We argue that when applied on projects that shift demand from a highly taxed mode to a...