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  1. Cross-sectional dependence model specifications in a static trade panel data setting
    Erschienen: March 25, 2019
    Verlag:  WU Vienna University of Economics and Business, Vienna

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    Format: Online
    Schriftenreihe: Working papers in regional science ; 2019, 03
    Schlagworte: Bayesian; MCMC estimation; socio-cultural distance; origin-destination flows; treatment of time invariant variables; panel models
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  2. Nowcasting Swedish GDP growth
    Erschienen: February, 2021
    Verlag:  National Institute of Economic Research, Stockholm

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    Schriftenreihe: Working paper / Konjunkturinstitutet ; no. 154 (February 2021)
    Schlagworte: Bayesian; dynamic factor model; bridge equation; mixed-frequency; MIDAS; Covid-19
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  3. Nowcasting "true" monthly US GDP during the pandemic
    Erschienen: January 25, 2021
    Verlag:  Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, Canberra

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    Schriftenreihe: CAMA working paper ; 2021, 14 (January 2021)
    Schlagworte: Pandemic; Nowcasting; Income; Expenditure; Mixed frequency model; Vector autoregression; Bayesian
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  4. Competition in the retail market of consumer packaged goods
    = Concurrentie in het Schap
    Autor*in: Li, Wei
    Erschienen: [2020]
    Verlag:  Erasmus Institute of Management (ERIM), Rotterdam

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    Medientyp: Dissertation
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    ISBN: 9789058925978
    Weitere Identifier:
    hdl: 1765/134873
    Schriftenreihe: ERIM PhD series in research in management ; EPS-2021-503-MKT
    Schlagworte: Price promotion; competition; retail market; private-label; market-share; forecast; Bayesian; machine learning; Prijspromotie; wedstrijd; retailmarkt; huismerk; marktaandeel; voorspelling; Bayesian; machine learning
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    Aus Copyright-Gründen enthält das Dokument anfangs nur Teile der Hochschulschrift. Das Datum der Bereitstellung des vollständigen Textes ist nicht bekannt

    Dissertation, Erasmus University Rotterdam, 2020

  5. Persistent and transient inefficiency of Australian states and territories in providing public hospital services
    an application of Bayesian stochastic finite mixture frontier analysis
    Erschienen: [2021]
    Verlag:  [Auckland University of Technology], [Auckland, New Zealand]

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    Schriftenreihe: Economics working paper series / Faculty of Business, Economics and Law, AUT ; 2021, 02
    Schlagworte: stochastic frontier analysis; Australian hospitals; technical efficiency; persistent inefficiency; frontier estimation; Bayesian; STAN
    Umfang: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  6. Simultaneous edit-imputation for continuous microdata
    Erschienen: December, 2015
    Verlag:  US Census Bureau, Center for Economic Studies, Washington, DC

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    Schriftenreihe: Working papers / Center for Economic Studies, U.S. Census Bureau ; 15-44
    Schlagworte: Bayesian; Economic; Editing; Missing; Mixture; Survey
    Umfang: 1 Online-Ressource (circa 69 Seiten), Illustrationen
  7. Forecasting with high dimensional panel VARs
    Erschienen: 2015
    Verlag:  University of Glasgow, Adam Smith Business School, Glasgow

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    Schriftenreihe: Discussion papers / University of Glasgow, Adam Smith Business School ; 2015-25
    Schlagworte: Panel VAR; inflation forecasting; Bayesian; time-varying parametermodel
    Umfang: 1 Online-Ressource (21 Seiten), Illustrationen
  8. Experimental persuasion
    Erschienen: 2021
    Verlag:  Cowles Foundation for Research in Economics, Yale University, New Haven, Connecticut

    We introduce experimental persuasion between Sender and Receiver. Sender chooses an experiment to perform from a feasible set of experiments. Receiver observes the realization of this experiment and chooses an action. We characterize optimal... mehr

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    We introduce experimental persuasion between Sender and Receiver. Sender chooses an experiment to perform from a feasible set of experiments. Receiver observes the realization of this experiment and chooses an action. We characterize optimal persuasion in this baseline regime and in an alternative regime in which Sender can commit to garble the outcome of the experiment. Our model includes Bayesian persuasion as the special case in which every experiment is feasible; however, our analysis does not require concavification. Since we focus on experiments rather than beliefs, we can accommodate general preferences including costly experiments and non-Bayesian inference.

     

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    Schriftenreihe: Cowles Foundation discussion paper ; no. 2298 (August 2021)
    Schlagworte: Experiments; Beliefs; Decision Making; Information; Bayesian
    Umfang: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  9. Learning in a small/big world
    Erschienen: [2020]
    Verlag:  University of Cambridge, Faculty of Economics, Cambridge

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    Schriftenreihe: Cambridge working paper in economics ; 2085
    Cambridge-INET working paper series ; no.: 2020, 39
    Schlagworte: Learning; Bounded Memory; Bayesian; Ignorance; Disagreement
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  10. Nowcasting in a pandemic using non-parametric mixed frequency VARs
    Erschienen: 2021
    Verlag:  Publications Office of the European Union, Luxembourg

    This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of... mehr

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    This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced by the COVID-19 pandemic of 2020. This is due to their flexibility and ability to model outliers. In an application involving four major euro area countries, we find substantial improvements in nowcasting performance relative to a linear mixed frequency VAR.

     

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    Sprache: Englisch
    Medientyp: Ebook
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    ISBN: 9789276287728
    Weitere Identifier:
    hdl: 10419/249363
    Schriftenreihe: JRC working papers in economics and finance ; 2021, 1
    Schlagworte: Regression tree models; Bayesian; macroeconomic forecasting; vector autoregressions
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  11. Scenario generation for IFRS9 purposes using a Bayesian MS-VAR model
    Autor*in: Kuchta, Michal
    Erschienen: 2021
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    The industry consensus on the implementation of the International Financial and Reporting Standard 9 - Financial Instruments (IFRS9) in the field of credit risk is that the estimation of credit risk parameters should be conditioned in the baseline,... mehr

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    The industry consensus on the implementation of the International Financial and Reporting Standard 9 - Financial Instruments (IFRS9) in the field of credit risk is that the estimation of credit risk parameters should be conditioned in the baseline, upside and downside macroeconomic scenarios presumed to be representative of the respective state of the economy. The existing approaches to scenario generation and probability weights assignment suffer from arbitrary inputs, e.g. expert judgment, quantiles selection, severity metric, the specification of a conditioned path. We present a pioneering forecasting approach using a Bayesian MS-VAR which is net of these arbitrary components. This method allows for the consistent contemporaneous formulation of the baseline and alternative scenarios and endogenously ties them to their respective probability weights. We propose to generate representative scenarios as unconditional regime-specific forecasts and to calculate the probability weights associated with representative scenarios as unconditional lifetime transition probabilities. We illustrate the method on artificial as well a real data and conduct an empirical backtest, in which generated scenarios are compared to the actual development during the financial crisis. The method is challenged with the DSGE model and conditional forecasting.

     

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    hdl: 10419/247377
    Schriftenreihe: IES working paper ; 2021, 10
    Schlagworte: scenario generation; IFRS9; Markov-switching VAR; Bayesian
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  12. Estimating macro models and the potentially misleading nature of Bayesian estimation
    Erschienen: September 2021
    Verlag:  Cardiff Business School, Cardiff University, Cardiff, United Kingdom

    We ask whether Bayesian estimation creates a potential estimation bias as compared with standard estimation techniques based on the data, such as maximum likelihood or indirect estimation. We investigate this with a Monte Carlo experiment in which... mehr

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    We ask whether Bayesian estimation creates a potential estimation bias as compared with standard estimation techniques based on the data, such as maximum likelihood or indirect estimation. We investigate this with a Monte Carlo experiment in which the true version of a New Keynesian model may either have high wage/price rigidity or be close to pure áexibility; we treat each in turn as the true model and create Bayesian estimates of it under priors from the true model and its false alternative. The Bayesian estimation of macro models may thus give very misleading results by placing too much weight on prior information compared to observed data; a better method may be Indirect estimation where the bias is found to be low.

     

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    hdl: 10419/250346
    Schriftenreihe: Cardiff economics working papers ; no. E2021, 22
    Schlagworte: Bayesian; Maximum Likelihood; Indirect Inference; Estimation Bias
    Umfang: 1 Online-Ressource (circa 11 Seiten), Illustrationen
  13. Excess asset returns predictability in an emerging economy: the case of Colombia
    Erschienen: [2023]
    Verlag:  Banco de la Republica Colombia, Bogotá, Colombia

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    Weitere Identifier:
    hdl: 20.500.12134/10659
    Schriftenreihe: Borradores de economía ; no.1243 (2023)
    Schlagworte: Book-to-market; Earnings-to-price; Excess returns; Bayesian
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  14. Nowcasting "true" monthly US GDP during the pandemic
    Erschienen: [2021]
    Verlag:  Department of Economics, University of Strathclyde, Glasgow

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    Schriftenreihe: Strathclyde discussion papers in economics ; no 21, 1
    Schlagworte: Pandemic; Nowcasting; Income; Expenditure; Mixed frequency model; Vector autoregression; Bayesian
    Umfang: 1 Online-Ressource (circa 36 Seiten)
  15. A flexible model to reconstruct education-specific fertility rates
    sub-Saharan Africa case
    Erschienen: [2023]
    Verlag:  Vienna Institute of Demography, Austrian Academy of Sciences, Vienna, Austria

    The future world population growth and size will be largely determined by the pace of fertility decline in sub-Saharan Africa. Correct estimates of education-specific fertility rates are crucial for projecting the future population. Yet, consistent... mehr

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    The future world population growth and size will be largely determined by the pace of fertility decline in sub-Saharan Africa. Correct estimates of education-specific fertility rates are crucial for projecting the future population. Yet, consistent crosscountry, comparable estimates of education-specific fertility for sub-Saharan African countries are still lacking. We propose a flexible Bayesian hierarchical model that reconstructs education-specific fertility rates by combining the patchy Demographic and Health Surveys (DHS) data and the United Nations' (UN) reliable estimates of total fertility rates (TFR). Our model produces estimates that match the UN TFR to different extents (in other words, estimates of varying levels of consistency with the UN). We present three model specifications: Consistent but not identical with the UN; fully-consistent (nearly identical) with the UN, and consistent with the DHS. Further, we provide a full time series of education-specific TFR estimates covering five-year periods between 1980 and 2014 for 36 sub-Saharan African countries. The results show that the DHS-consistent estimates are usually higher than the UN-fully-consistent ones. The differences between the three model estimates vary substantially in size across countries, yielding 1980-2014 fertility trends that diverge from each other-mostly in level only, but also sometimes in direction.

     

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    hdl: 10419/278613
    Schriftenreihe: Working papers / Vienna Institute of Demography ; 2023, 02
    Schlagworte: Bayesian; Sub-Saharan Africa; Education-specific fertility rates; Demographic and Health Survey
    Umfang: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  16. A Bayesian approach for the determinants of bitcoin returns
    Erschienen: [2023]
    Verlag:  Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Guelph, Ontario, Canada

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    Schriftenreihe: Discussion paper / Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph ; 2023, 02
    Schlagworte: bitcoin; cryptocurrency; LASSO; Bayesian; CBDC
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  17. Analysing inflation dynamics in Iceland using a Bayesian structural vector autoregression model
    Erschienen: [2022]
    Verlag:  Central Bank of Iceland, [Reykjavík]

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    Schriftenreihe: Working paper / Central Bank of Iceland ; 88 (2022)
    Schlagworte: Bayesian; Structural vector autoregression; Sign restrictions; Long run restrictions; inflation; international trade; small open economy
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  18. Bayesian inference in high-dimensional time-varying parameter models using integrated rotated Gaussian approximations
    Erschienen: [2023]
    Verlag:  Department of Economics, University of Strathclyde, Glasgow

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    Schriftenreihe: Strathclyde discussion papers in economics ; no. 23, 4
    Schlagworte: Time-varying parameter regression; Bayesian; Gaussian approximation; macroe- conomic forecasting
    Umfang: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  19. The role of socio-cultural factors in static trade panel models
    Erschienen: May 16, 2018
    Verlag:  WU Vienna University of Economics and Business, Vienna

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    Auflage/Ausgabe: Revised version: May 16, 2018
    Schriftenreihe: Working papers in regional science ; 2018, 04
    Schlagworte: Bayesian; MCMC estimation; socio-cultural distance; origin-destination flows; treatment of time invariant variables; panel models
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  20. Cross-sectional dependence model specifications in a static trade panel data setting
    Erschienen: December 4, 2017
    Verlag:  WU Vienna University of Economics and Business, Vienna

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    Schriftenreihe: Working papers in regional science ; 2017, 01
    Schlagworte: Bayesian; MCMC estimation; socio-cultural distance; origin-destination flows; treatment of time invariant variables; panel models
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  21. Forecasting macroeconomic variables in emerging economies
    an application to Vietnam
    Erschienen: June 2021
    Verlag:  National Graduate Institute for Policy Studies, Tokyo, Japan

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    Schriftenreihe: GRIPS discussion paper ; 21, 03
    Schlagworte: Bayesian; dynamic model averaging; forecasting macroeconomic variables; Vietnam
    Umfang: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  22. Nowcasting in a pandemic using non-parametric mixed frequency VARs
    Erschienen: [2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of... mehr

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    This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced by the COVID-19 pandemic of 2020. This is due to their flexibility and ability to model outliers. In an application involving four major euro area countries, we find substantial improvements in nowcasting performance relative to a linear mixed frequency VAR.

     

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    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289945097
    Weitere Identifier:
    hdl: 10419/229124
    Schriftenreihe: Working paper series / European Central Bank ; no 2510 (January 2021)
    Schlagworte: Regression tree models; Bayesian; macroeconomic forecasting; vector autoregressions
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  23. A note on the determinants of NFTs returns
    Erschienen: [2024]
    Verlag:  Rimini Centre for Economic Analysis, [Waterloo, Ontario]

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    Schriftenreihe: Working paper series / Rimini Centre for Economic Analysis ; wp 24, 07
    Schlagworte: Non-fungible tokens; cryptocurrency; LASSO; Bayesian; volatility
    Umfang: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  24. The seven deadly sins of psychology
    a manifesto for reforming the culture of scientific practice : with a new preface by the author
    Autor*in: Chambers, Chris
    Erschienen: [2019]
    Verlag:  Princeton University Press, Princeton

    This book diagnoses the ills besetting psychology today and proposes sensible, practical solutions to ensure that it remains a legitimate and reliable science in the years ahead mehr

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    This book diagnoses the ills besetting psychology today and proposes sensible, practical solutions to ensure that it remains a legitimate and reliable science in the years ahead

     

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    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9780691192031; 0691192030
    Schlagworte: Psychology; Psychology; Psychologie - Recherche - Méthodologie; Psychologie - Recherche; PSYCHOLOGY - Reference; PSYCHOLOGY - Research & Methodology; Psychology - Research; Psychology - Research - Methodology
    Weitere Schlagworte: Academic publishing; Adversarial collaboration; Alzheimer's disease; Ambiguity; American Psychological Association; Article processing charge; Author; Bayes' theorem; Bayesian; Blog; Calculation; Career; Center for Open Science; Cherry picking; Cognitive psychology; Confirmation bias; Counting; Criticism; Data set; Data; Edition (book); Editorial; Effect size; Estimation; Experiment; Experimental psychology; Explanation; Fallacy; False positive rate; Finding; Fraud; Funding; Guideline; Hypothetico-deductive model; Impact factor; Independent scientist; Institution; Jargon; John Bargh; Law of small numbers; Literature; Manuscript; Meta-analysis; Methodology; Misconduct; Narrative; Null hypothesis; Open science; P-value; PLOS ONE; PLOS; Paperback; Participant; Paywall; Peer review; Percentage; Post hoc analysis; Postdoctoral researcher; Precognition; Prevalence; Probability; Psychiatry; Psychological Science; Psychological research; Psychologist; Psychology; Psychonomic Society; Publication bias; Publication; Publishing; Quantity; Raw data; Reprimand; Reproducibility; Reputation; Requirement; Result; Reuse; Sample Size; Sampling (statistics); Science; Scientific literature; Scientific method; Scientific misconduct; Scientist; Scrutiny (journal); Scrutiny; Sharing; Signature; Social psychology; Statistical hypothesis testing; Statistical power; Statistical significance; Statistician; Statistics; Suggestion; Tilburg University; Type I and type II errors; Whistleblower; Writing
    Umfang: 1 Online-Ressource, illustrations
    Bemerkung(en):

    Includes bibliographical references and index

    The sin of bias -- The sin of hidden flexibility -- The sin of unreliability -- The sin of data hoarding -- The sin of corruptibility -- The sin of internment -- The sin of bean counting -- Redemption.

  25. Bayesian Learning in Financial Markets
    Autor*in: Hua, Ye
    Erschienen: 2023

    The dissertation consists of three chapters, each focusing on a different application of learning in financial markets. The first chapter addresses survivorship bias in the global equity markets. Survivorship bias refers to people’s tendency of... mehr

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    The dissertation consists of three chapters, each focusing on a different application of learning in financial markets. The first chapter addresses survivorship bias in the global equity markets. Survivorship bias refers to people’s tendency of focusing on successful individuals in inferring global attributes. The application in global equity markets helps attenuate the equity premium puzzle. In a hierarchical Bayesian model, I allow the investors to infer the country-specific crash risk from the cross section of countries. I show the upward bias in the measured equity premium is due to crashes that did not occur in-sample and surprises from updating positively on future valuations. In the second chapter, I focus on the secular decline of interest rate along with other secular trends, such as trends in growth rate and inflation. The motivation of the chapter is to highlight that possible structural shifts in the economy can result in drifting long-run steady-state. I show that detrending the dividend yield with the long-term interest rate leads to a more stationary time series and improves the predictability of future returns. To avoid running into problems with the unit root processes, I model the secular trends as hidden or unspanned in a term structure model. The model captures that the possibility that investors distinguish shocks to the short end and long end of the yield curve, and infer from Fed hiking rates that there is an improvement in long-term economic outlook (the Fed information channel). The last chapter presents an interesting case of memory decay in learning about crash risk. The agents in the model display recency bias in inferring crash risk and forget such occurrences at an exponential rate. Learning leads to endogenous boom-bust cycles and optimal hedging demands in asset allocation problems.

     

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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Dissertation
    Format: Online
    ISBN: 9798379751043
    Schriftenreihe: Dissertations Abstracts International
    Schlagworte: Finance; Statistics; Bayesian; Learning; Survivorship; Financial markets
    Umfang: 1 Online-Ressource (163 p.)
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    Source: Dissertations Abstracts International, Volume: 84-12, Section: B. - Advisor: van Binsbergen, Jules

    Dissertation (Ph.D.), University of Pennsylvania, 2023