Confidence Intervals for Bubble Onset and Recovery Dates
Eiji Kurozumi and Anton Skrobotov have published an article titled "Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble" in the journal Econometric Reviews. The paper proposes, for the first time, a method for constructing statistically justified confidence sets for the dates of financial bubble emergence, collapse, and recovery. The authors employ test inversion procedures for breakpoint location, which allows for controlled coverage rates with reasonable interval lengths. The effectiveness of the approach is demonstrated using Japanese Nikkei 225 index data.
Professor Marco Barassi at the Centre for Big Data in Economics and Finance at HSE University
The Centre for Big Data in Economics and Finance at HSE University hosted Professor Marco Barassi of the University of Birmingham. During his visit he delivered a plenary talk at a special session of the 8th Applied Econometrics conference and also presented a paper at the International Research Seminar of the Faculty of Economic Sciences.
Art market pricing in emerging economies
Taisia Pimenova, Valeria Kolycheva, Alexander Semenov, and Dmitry Grigoriev have published the article «Art pricing in the emerging markets: An empirical analysis» in Emerging Markets Review . The paper presents an empirical analysis of the impact of public sentiment expressed on social media on artwork prices in emerging markets. Using a dataset of 3,282 paintings by Russian and Chinese artists, the authors demonstrate that both positive and negative public opinion significantly affect prices, while also identifying the moderating roles of collectors' investment intentions and geopolitical risk.
Bayesian Adaptive Sparse Copula: Tackling the Curse of Dimensionality in Multivariate Data
Martin Burda and Artem Prokhorov have published the article «Bayesian Adaptive Sparse Copula» in the Journal of Computational and Graphical Statistics. The paper introduces a new approach to Bayesian nonparametric estimation of multivariate densities. The authors propose a random Bernstein polynomial prior augmented with a spike-and-slab shrinkage structure, which preserves the advantages of multiscale decision tree methods while alleviating the curse of dimensionality.
Treatment effects under endogeneity and non-random selection: Estimating the impact of stress on addictive substance use
Anastasia Gergenreter has published an article «Estimation of treatment effects on ordinal variables in multivariate ordered choice models» in Applied Econometrics . The study offers a fresh perspective on estimating treatment effects for ordinal outcomes in settings where non-random selection is present and the conditional independence assumption no longer holds.
Family Matters: New Research Reveals How Children Transform Women’s Labor Supply Decisions
A research team comprising Sofiia Dolgikh and Bogdan Potanin has published a paper titled “Fertility and labor supply in Mexico” in the Journal of Economic Studies. The article estimates wage elasticities of labor supply of Mexican married women with different numbers of children and analyzes the treatment effect of fertility on labor supply of these women.
Breakthrough Hybrid Model Merges Deep Learning and Production Theory, Outperforming Standard Benchmarks
A research team comprising Zheng Wei, Huiyan Sang, Artem Prokhorov, and Yu Ma has published a paper titled “Shape-Aware Deep Learning for Models of Production” in Journal of Productivity Analysis.
The study proposes a breakthrough method that combines the power of Deep Neural Networks (DNNs) with fundamental economic principles.
Study Reveals Critical Flaws in Standard Methods for Assessing Firm Efficiency
An international research team including Subal C. Kumbhakar, A. Peresetsky, Y. Shchetynin, and A. Zaytsev has published a paper “Technical efficiency and inefficiency: Reliability of standard SFA models and a misspecification problem.” The study uncovers a fundamental issue in Stochastic Frontier Analysis (SFA) models used to evaluate the performance of firms and industries.
New Method for Pinpointing Breaks in Economic Trends
Researchers from the Centre for Big Data in Economics and Finance have developed a new method for accurately identifying structural breaks in economic and financial time series. Their paper, "Change-Point Detection in Time Series Using Mixed Integer Programming," introduces a framework based on Mixed Integer Optimization (MIO).
Start of iCEBDA Seminar Series
The HSE Centre for Big Data in Economics and Finance is launching a regular iCEBDA Seminar Series. The new initiative serves as a natural continuation of the completed International Conference on Econometrics and Big Data Analysis (iCEBDA-25) and will be dedicated to modern methods in econometrics and data analysis.Центр больших данных в экономике и финансах НИУ ВШЭ запускает регулярную серию iCEBDA Seminar Series. Новая инициатива стала логичным продолжением прошедшей конференции International Conference on Econometrics and Big Data Analysis (iCEBDA-25) и будет посвящена современным методам эконометрики и анализа данных.С сентября по декабрь ведущие зарубежные и российские исследователи представят результаты своих работ в области панельных моделей, инструментально-свободных регрессий, анализа системных рисков и прогнозирования временных рядов.Ближайшие мероприятия29 сентября 2025 — Recent Development in Instrument-Free Approaches to Regression Models with Endogenous Regressors,
спикер: Kien C. Tran (University of Lethbridge).6 октября 2025 — Genuinely Robust Inference for Clustered Data,
спикер: Yulong Wang (Syracuse University).17 октября 2025 — Systemic Growth-at-Risk and Growth Spread Measures,
спикер: Abderrahim Taamouti (University of Liverpool).Полное расписание доступно на странице Центра.Организация и регистрацияОрганизатором серии выступает Центр больших данных в экономике и финансах НИУ ВШЭ.
Участие бесплатное, рекомендуется регистрация по ссылке.Семинары будут проходить в формате Zoom-конференций. Ссылка для подключения направляется зарегистрированным участникам и доступна на странице семинаров.