Santa Clara, CA 95053
United States
Santa Clara University - Department of Finance
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Correlated default, contagion, frailty, fitness test, time change
Networks, contagion, predictability, risk measurement, machine learning, natural language processing. JEL codes: E32
contagion, machine learning, natural language processing, networks, predictability, risk measurement
Benchmarking, Institutional investors, retail investors, tail risk, heterogenous agents
Cryptocurrencies, Data quality, Data aggregation, Measurement errors, Data quality grading
Cryptocurrencies, peers, co-movement, financial news, natural language processing.
Interacting stochastic systems, likelihood inference, weak limits, large system asymptotics, indirect inference
firm networks, predictability, aggregate fluctuations, natural language processing, large language models. JEL codes: C45, risk management
Multivariate jump-diffusion, exact likelihood inference, asymptotic efficiency, filtering, computational efficiency
Multivariate jump-diffusion, exact likelihood inference, asymptotic efficiency, computational efficiency
point process, filtering, parametric maximum likelihood, asymptotic theory, likelihood approximation
News coverage, editorial selection, risk characteristics, predictability, natural language processing.
Venture capitalism, subscription lines, credit, startup investing, economic growth.
Density estimator, parameter estimator, exact simulation, simulated likelihood
Consumption growth, long-run risks, disasters, predictability, estimation
