1 citations · 1 across the 6 of their papers we have counts for
7 papers
srvar-toolkit: A Python Implementation of Shadow-Rate Vector Autoregressions with Stochastic Volatility
Charles Shaw
We introduce srvar-toolkit, an open-source Python package for Bayesian vector autoregression with shadow-rate constraints and stochastic volatility. The toolkit implements the meth…
A Path Signature Framework for Detecting Creative Fatigue in Digital Advertising
Charles Shaw
This paper introduces a signature-based framework for detecting advertising creative fatigue using path signatures, a geometric representation from rough path theory. Creative fati…
Optimized Supergeo Design: A Scalable Framework for Geographic Marketing Experiments
Charles Shaw
Geographic experiments are a widely-used methodology for measuring incremental return on ad spend (iROAS) at scale, yet their design presents significant challenges. The unit count…
Model Risk in Machine-Learning Distributional IV Estimation
Charles Shaw
We study model risk in machine-learning estimation of the Distributional Instrumental Variable Local Average Treatment Effect (D-IV-LATE), the distributional IV effect for the subp…
Financial Performance and Innovation: Evidence From USA, 1998-2023
Panteleimon Kruglov, Charles Shaw
This study explores the relationship between R&D intensity, as a measure of innovation, and financial performance among S&P 500 companies over 100 quarters from 1998 to 2023, inclu…
Portfolio Diversification Revisited
Charles Shaw
We relax a number of assumptions in Alexeev and Tapon (2012) in order to account for non-normally distributed, skewed, multi-regime, and leptokurtic asset return distributions. We…
Conditional heteroskedasticity in crypto-asset returns
Charles Shaw
This paper examines the time series properties of cryptocurrency assets, such as Bitcoin, using established econometric inference techniques, namely models of the GARCH family. The…