2 papers
econ.EM2026
Robust Cauchy-Based Methods for Predictive Regressions
Rustam Ibragimov, Jihyun Kim, Anton Skrobotov
This paper develops robust inference methods for predictive regressions that address key challenges posed by endogenously persistent or heavy-tailed regressors, as well as persiste…
econ.EM2025
Change-Point Detection in Time Series Using Mixed Integer Programming
Artem Prokhorov, Peter Radchenko, Alexander Semenov +1
We use cutting-edge mixed integer optimization (MIO) methods to develop a framework for detection and estimation of structural breaks in time series regression models. The framewor…