Industrial and Commercial Bank of China

Robust Optimal Reconciliation for Hierarchical Time Series Forecasting With M‐Estimation

ABSTRACT Aggregation constraints, arising from geographical or sectoral division, frequently occur in large collections of time series. Coherent forecasts for such constrained series are expected to adhere to the hierarchical structure defined by these aggregation rules. To enhan...

Spurious State Dependence, True State Dependence and the Fear of Floating

ABSTRACT To better understand the Fear of Floating phenomenon in exchange rate regime evolution, this paper advances the method to identify state dependence and establishes four new findings and explanations. First, the introduction of state dependence into multinomial discrete c...

Assessing China’s COVID-19 control measures: a quantitative analysis based on a SIRD model

Abstract This paper established a Susceptible-Infected-Recovered-Dead (SIRD) model to fit and predict the COVID-19 epidemic in China. On the premise of passing the Markov Chain Monte Carlo (MCMC) robustness check, we counterfactually assessed the effectiveness of partial unlockin...