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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimation of Common Factors for Microstructure Noise and Effcient Price in a High-frequency Dual Factor Model
高频双因子模型 微结构 噪声公因数 效率价格 估计
2023/4/17
We develop the Double Principal Component Analysis (DPCA) based on a dual factor structure for high-frequency intraday returns contaminated by microstructure noise. The dual factor structure allows a ...
Effcient GMM estimation of spatial dynamic panel data models with fixed effects
Spatial autoregression Dynamic panels Fixed e¤ects Generalized method of moment Many moments
2016/1/19
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with …xed e¤ects when n is large, and T can be large, but small relative to n. The GMM esti...
Effcient Provision of Experience Goods: Evidence from Antidepressant Choice
Learning dynamic discrete choice pharmaceutical demand
2015/7/17
In the market for medical care, physicians often face uncertainty about how a newly
diagnosed patient will respond to available treatments. I design a framework to analyze
how price and promotion in...
Since the present author rst became involved in computational uid dynamics, around 1970, the land scape has changed dramatically. At that time, panel methods had just come into use, and the world's f...
An Effcient Method for Random Delay Generation in Embedded Software
Side channel attacks countermeasures random delays
2009/9/2
Random delays are a countermeasure against a range of side
channel and fault attacks that is often implemented in embedded soft-
ware. We propose a new method for generation of random delays and
a ...
Secure and Effcient Asynchronous Broadcast Protocols
Secure Effcient Asynchronous Broadcast Protocols
2009/4/16
Reliable broadcast protocols are a fundamental building block for implementing replication
in fault-tolerant distributed systems. This paper addresses secure service replication
in an asynchronous e...
Secure multi-party computation (MPC) is an active research area, and a wide range of literature can be found nowadays suggesting improvements and generalizations of existing protocols in various direc...
A signer in a Nominative Signature (NS) scheme can arbitrarily choose a nom-
inee, then jointly generate a signature in such a way that the signature can only be verified
with the nominee's consent....