This paper investigates the link between the optimal level of nonfinancial firms’ leverage and macroeconomic uncertainty. We develop a structural model of a firm’s value maximization problem that predicts that as macroeconomic uncertainty increases the firm will decrease its optimal level of borrowing. We test this proposition using a panel of non–financial US firms drawn from the COMPUSTAT qua...

We consider the long memory and leverage properties of a model for the conditional variance V 2 t of an observable stationary sequence Xt, where V 2 t is the square of an inhomogeneous linear combination of Xs, s < t, with square summable weights bj . This model, which we call linear ARCH (LARCH), specializes, when V 2 t depends only on Xt−1, to the asymmetric ARCH model of Engle (1990), and, w...

This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by m...

A significant remaining challenge for existing recommender systems is that users may not trust either inaccurate recommendation or lack of explanation. Thus, it becomes critical to embrace a trustworthy system. This survey provides systematic summary three categories issues in systems: social-aware systems, which leverage users’ social relationships; robust filter untruthful information, noises...

Bagging is a procedure averaging estimators trained on bootstrap samples. Numerous experiments have shown that bagged estimates often yield better results than the original predictor, and several explanations have been given to account for this gain. However, six years from its introduction, bagging is still not fully understood. Most explanations given until now are based on global properties ...

Digital inequality, or the unequal access and use of information communication technologies, inhibits under-privileged people from opportunities in the digital world. Although government and private organizations have devoted considerable resources to address this inequality, issues remain unsolved. A theory-based investigation of the phenomenon is essential for effective policy-making and inte...

Foresight is currently perceived as a critical activity in the development of innovation policies and corporate strategies. While there are many descriptions of the benefits of foresight, there is little research into how these benefits are created. In addition, although the view of innovations has shifted towards a systems understanding, the same has not happened with foresight, which is large...

In this paper we propose a method to robustly estimate linear regression quantiles with censored data. We adjust the estimator recently developed by Portnoy by replacing the Koenker-Bassett regression quantiles with the regression depth quantiles. The resulting optimization problem is solved iteratively over a set of grid points. We show on some examples that, contrary to the Koenker-Bassett ap...