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A Survey of Some Recent Applications of Optimal Transport Methods to Econometrics

Galichon, Alfred - 2016

This paper surveys recent applications of methods from the theory of optimal transport to econometric problems …

Persistent link: https://www.econbiz.de/10012977009

Time Series Forecasting With a Learning Algorithm : An Approximate Dynamic Programming Approach

Collado, Ricardo - 2019

We consider the basic problem of refi tting a time series over a finite period of time and formulate it as a stochastic dynamic program. By changing the underlying Markov decision process we are able to obtain a model that at optimality considers historical data as well as forecasts of future...

Persistent link: https://www.econbiz.de/10012894079

Short-memory linear processes and econometric applications

Mynbaev, Kairat T. - 2011

Intro to operators, probabilities, and linear model -- Lp-approximable sequences of vectors -- Convergence of linear and quadratic forms -- Regressions with slowly varying regressors -- Spatial models -- Convergence almost everywhere -- Nonlinear models -- Tools for vector autoregressions

Persistent link: https://www.econbiz.de/10009130959

Synthetic Floating Crude Oil Storage and Optimal Statistical Arbitrage : A Model Specification Analysis

Bucca, Andrea; Cummins, Mark - 2012

The informational fl ow between oil and spot freight markets is examined in a novel way via the time charter equivalent (TCE) to identify statistical arbitrage trading opportunities. Using Brent and TD3 data, synthetic floating storage positions are constructed, which are shown to be...

Persistent link: https://www.econbiz.de/10014177324

A Mixture of Gaussians Approach to Mathematical Portfolio Oversight : The EF3M Algorithm

Lopez de Prado, Marcos - 2013

An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, mutating its investment style. A...

Persistent link: https://www.econbiz.de/10013092381

Fourth order pseudo maximum likelihood methods

Holly, Alberto; Monfort, Alain; Rockinger, Michael - 2009

The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux …(1984) to PML4 and QGPML2 methods, respectively. An asymptotic theory is developed which shows, in particular, that the … which solves a computational problem that has previously been raised in several econometric fields. Simulation exercises …

Persistent link: https://www.econbiz.de/10003970462