In this paper we present the functional automata as a general framework for representation, training and exploring of various statistical models as LLM’s, HMM’s, CRF’s, etc. Our contribution is a new construction that allows the representation of the derivatives of a function given by a functional automaton. It preserves the natural representation of the functions and the standard product and s...

Formal studies of decision threshold learning assume full feedback conditions, that is, no matter what the decision is (positive or negative), the feedback will be provided. However, in the real world feedback may be conditional on the decision made. For example, in college admissions decisions, there is no feedback available for the students who are not admitted. In this paper, we investigate ...

This paper proposes two models that incorporate both heterogeneity and multiple sources of spatial correlation for dynamic panels. One uses convex combinations them to form a single weight matrix. The second one includes explicitly different matrices higher order model. We use Bayesian scheme model estimation by deriving the full conditional distributions heterogeneous parameters. Our Monte Car...

Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the U.S. to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2) evidence of unidirectional AR...

Green bonds play a pivotal role in the financing of sustainable infrastructure systems. Likewise, CO 2 emissions and oil prices can cause an impact on green market. In order to better understand this issue, study analyzes relationship among bonds, futures’ prices, using daily data set that includes 2,206 observations corresponding information from 1 January 2014 15 June 2022. The Granger Causal...

In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims by looking at various measures of correlation. Next, we assess what are the implications of higher correlations between oil and equity prices for asset allocation. We develo...

This paper investigates the degree of risk aversion exhibited by Irish fund managers. Assuming a mean-variance optimising manager, we employ the dynamic conditional correlation specification (Engle, 2002) of the multivariate GARCH model to estimate the coefficient of relative risk aversion. We find that fund managers whose remit is to “aggressively” manage their portfolios have coefficients lyi...

We develop a new estimation methodology for a dynamic optimization model with unobserved shocks. We propose a pairwise-difference approach which exploits two common features of the dynamic optimization problem we consider: (1) the monotonicity of the agent’s decision (policy) function in the shocks, conditional on the observed state variables; and (2) the state-contingent nature of optimal deci...