Using machine learning to study parenting styles
Dr. Christopher Rauh has published an article for VOXeu that uses unsupervised machine learning to measure parenting styles applied to a panel of Canadian children from age five months to just over two years.
Dynamic Early Warning and Action Model
Mueller, H., Rauh, C., Ruggieri, A.
JIWP Number: 2213
Rather Doomed than Uncertain: Risk Attitudes and Transmissive Behavior Under Asymptomatic Infection
Matthies, K. and Toxvaerd, F.M.O.
Economic Theory, accepted (2022)
Competitiveness, 'Superstar' Firms and Capital Flows
JIWP Number: 2217
Keynes Fund Research Day 2022
The Keynes Fund will hold their 9th Research Day at Jesus College. It will also be a celebration of the 10th Anniversary of the Fund.
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The Cambridge-INET led, COVID-19 Economic Research website has an extensive collection of special features, research papers, blogs and videos, by Cambridge Academics that look into the pandemic and it’s economics effects,
Dynamic Autoregressive Liquidity (DArLiQ)
Professor Oliver Linton has published a new Janeway Institute Working Paper with L. Wang and C.M. Hafner.
They introduce a new class of semiparametric dynamic autoregressive models for the Amihud illiquidity measure, which captures both the long-run trend in the illiquidity series with a nonparametric component and the short-run dynamics with an autoregressive component.
They develop a GMM estimator based on conditional moment restrictions and an efficient semiparametric ML estimator based on an iid assumption. They derive large sample properties for both estimators and further develop a methodology to detect the occurrence of permanent and transitory breaks in the illiquidity process.
Finally, they demonstrate the model performance and its empirical relevance on two applications. First, they study the impact of stock splits on the illiquidity dynamics of the five largest US technology company stocks. Second, they investigate how the different components of the illiquidity process obtained from their model relate to the stock market risk premium using data on the S&P 500 stock market index.
Dr. Chen Wang is visiting
Dr. Chen Wang (University of Hong Kong) is being hosted at the Janeway Institute by Prof. Oliver Linton.
His research interests are Random Matrix Theory, Time Series Analysis, High-dimensional Data Analysis.
27th June 2022 - 26th August 2022
SoFiE 2022 Annual Conference
You can now see a selection of photographs from the SoFiE 2022 Annual Conference on the event page. Watch out for some videos to be added soon.
The conference took place from June 24th to June 27th 2022 and was sponsored by the Janeway Institute, the Cambridge Endowment for Research in Finance (CERF), the Centre for Microdata Methods and Practice (cemmap) and the Society for Financial Econometrics (SoFiE)