Simon Scheidegger

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Unil Dorigny, Batiment Internef

Lausanne, 1015

Switzerland

SCHOLARLY PAPERS

15

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4,546

SSRN CITATIONS
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SSRN RANKINGS

Top 14,570

in Total Papers Citations

57

CROSSREF CITATIONS

23

Scholarly Papers (15)

1.

Deep Equilibrium Nets

Number of pages: 80 Posted: 10 Jun 2019 Last Revised: 20 Jul 2021
Marlon Azinovic, Luca Gaegauf and Simon Scheidegger
University of Zurich, University of Zurich and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,123 (24,498)
Citation 10

Abstract:

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computational economics, deep learning, deep neural networks, global solution method, life-cycle, occasionally binding constraints, overlapping generations

2.

Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models

Number of pages: 37 Posted: 04 Nov 2013 Last Revised: 25 May 2017
Johannes Brumm and Simon Scheidegger
Karlsruhe Institute of Technology and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 798 (39,587)
Citation 34

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Adaptive Sparse Grids, High-Performance Computing, International Real Business Cycles, Menu Costs, Occasionally Binding Constraints

3.

Machine Learning for High-Dimensional Dynamic Stochastic Economies

Number of pages: 38 Posted: 06 Mar 2017 Last Revised: 10 Aug 2017
Simon Scheidegger and Ilias Bilionis
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Purdue University
Downloads 778 (41,068)
Citation 18

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Machine Learning, Gaussian Process, Active Subspaces, High-Performance Computing, Neoclassical Growth, Dynamic Programming

4.

Deep Structural Estimation: With an Application to Option Pricing

Number of pages: 57 Posted: 12 Mar 2021
Hui Chen, Antoine Didisheim and Simon Scheidegger
Massachusetts Institute of Technology, Swiss Finance Institute, UNIL and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 343 (112,418)

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Deep Learning, Structural Estimation, Option Pricing, Parameter Stability

5.

Machine Learning for Dynamic Incentive Problems

Number of pages: 43 Posted: 13 Nov 2018 Last Revised: 24 Feb 2020
Philipp Renner and Simon Scheidegger
Lancaster University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 320 (121,265)
Citation 8

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Dynamic Contracts, Principal-Agent Model, Dynamic Programming, Machine Learning, Gaussian Processes, High-Performance Computing

6.

Detecting Edgeworth Cycles

Number of pages: 44 Posted: 05 Oct 2021 Last Revised: 22 Nov 2021
Timothy Holt, Mitsuru Igami and Simon Scheidegger
Università della Svizzera italiana, Yale University - Department of Economics and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 275 (142,276)

Abstract:

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Edgeworth cycles, Fuel prices, Markups, Nonparametric methods

7.

Implied Risk Aversion Smile

Number of pages: 65 Posted: 04 Mar 2020 Last Revised: 15 Jun 2021
Antoine Didisheim, Dimitris Karyampas and Simon Scheidegger
Swiss Finance Institute, UNIL, Bocconi University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 249 (157,840)
Citation 1

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Deep Learning, Agent Preferences, Risk Aversion, Volatility Smile, Asset Pricing

8.

Pricing American Options Under High-Dimensional Models with Recursive Adaptive Sparse Expectations

Number of pages: 49 Posted: 11 Nov 2016 Last Revised: 30 Aug 2018
Simon Scheidegger and Adrien Treccani
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Zurich
Downloads 169 (225,315)
Citation 5

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American Options, Derivatives, Pricing, High-dimension, Adaptive sparse grids

9.

The Climate in Climate Economics

Number of pages: 45 Posted: 14 Jul 2021 Last Revised: 04 Oct 2021
Doris Folini, Felix Kubler, Aleksandra Malova and Simon Scheidegger
ETH Zurich, Institute for Atmospheric and Climate Science, University of Zurich, University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 164 (230,042)

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climate change, social cost of carbon, carbon taxes, environmental policy, deep learning, integrated assessment models, DICE-2016

10.

High-Dimensional Dynamic Stochastic Model Representation

Number of pages: 27 Posted: 11 Jun 2020
Aryan Eftekhari and Simon Scheidegger
Università della Svizzera italiana - Institute of Computational Science and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 155 (241,157)

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Generalized ANOVA, Dimensional Decomposition, High-Dimensional Model Representation, Adaptive Sparse Grids, High-Performance Computing, International Real Business Cycles, Occasionally Binding Constraints

11.

Large-Scale Precision Matrix Estimation With SQUIC

Number of pages: 15 Posted: 16 Aug 2021
Università della Svizzera italiana - Institute of Computational Science, Universita della Svizzera italiana (USI Lugano), Universita della Svizzera italiana (USI Lugano), TU Braunschweig, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Universita della Svizzera italiana (USI Lugano)
Downloads 82 (382,915)

Abstract:

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SQUIC, precision matrix, LASSO, maximum likelihood,R,Python

12.

Self-Justified Equilibria: Existence and Computation

Number of pages: 31 Posted: 16 Dec 2019
Felix Kubler and Simon Scheidegger
University of Zurich and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 51 (480,885)
Citation 3

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Dynamic General Equilibrium, Rational Expectations, Active Subspaces

13.

Making Carbon Taxation a Generational Win Win

Number of pages: 57 Posted: 24 Apr 2019 Last Revised: 21 Nov 2021
Boston University - Department of Economics, University of Zurich, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA), Columbia University - Columbia Earth Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 27 (601,235)
Citation 4

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14.

Can Today's and Tomorrow's World Uniformly Gain from Carbon Taxation?

Number of pages: 42 Posted: 13 Sep 2021 Last Revised: 18 Nov 2021
Boston University - Department of Economics, University of Zurich, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 7 (748,685)
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15.

Pareto-Improving Carbon-Risk Taxation

Number of pages: 37 Posted: 06 Apr 2020 Last Revised: 18 Nov 2021
Boston University - Department of Economics, University of Zurich, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 5 (764,348)
Citation 1
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