The main objectives of Task Order 4136 are (1) the design of improved freeway on-ramp metering strategies that make use of recent developments in traffic data collection, traffic simulation, and control theory, and (2) the testing of these methods on a 14-mile segment of Interstate 210 Westbound...

The development of high-tech industries in an open economy has become an inevitable requirement for all countries to enhance their competitive advantages and overall national strength. Technological innovation is a direct driving force for promoting high-tech industries' development. The...

This paper investigates the time varying relationship between earnings momentum and price momentum. Using a Markov-switching framework that allows for variations between high volatility and low volatility states, we find that price momentum is significantly more influenced by earnings momentum...

This paper investigates the time varying relationship between earnings momentum and price momentum. Using a Markov-switching framework that allows for variations between high volatility and low volatility states, we find that price momentum is significantly more influenced by earnings momentum...

This paper compares the changes in implied volatilities of options on Nasdaq 100 and Russell 2000 value and growth portfolios. Following Stein (1989) and Heynen, Kemna, and Vorst's (1994), we assume mean reversion, GARCH and EGARCH models for volatility. The empirical evidence using put options...

We use cross-country panel data to examine the effects of a variety of nonpharmaceutical interventions used by governments to suppress the spread of coronavirus disease (COVID-19). We find that while lockdown measures lead to reductions in disease transmission rates as captured by the...

This paper models the return series of USD/CNY exchange rate by considering the conditional mean and conditional volatility simultaneously. An index type functional-coefficient model is adopted to model the conditional mean part and a GARCH type model with a policy dummy variable is applied to...

For change-point analysis of high dimensional time series, we consider a semiparametric model with dynamic structural break factors. The observations are described by a few low dimensional factors with time-invariate loading functions of covariates. The unknown structural break in time models...