This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress....

This study evaluates potential migration flows to the European Union from its eastern neighbors and Croatia. We perform out-of-sample forecasts using an adaption of the model of Hatton (1995) to time series cross-sectional data about post-enlargement migration flows following the EU's 2004...

This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than 20 estimators common in the panel data literature using the data on migration to Germany from 18 source countries in the period 1967-2001. Our results suggest that the choice of...

Can publicly available, web-scraped data be used to identify promising business startups at an early stage? To answer this question, we use such textual and non-textual information about the names of Danish firms and their addresses as well as their business purpose statements (BPSs)...

Predictions of whether newly unemployed individuals will become long-term unemployed are important for the planning and policy mix of unemployment insurance agencies. We analyze unique data on three sources of information on the probability of re-employment within 6 months (RE6), for the same...

International migration is characterized by two puzzling facts: First, only a small share of the population tends to migrate although substantial and persisting income differences across countries exist. Second, net migration rates tend to cease over time despite persisting income differences....

Many microeconometric models of discrete labour supply include alternative-specific constants meant to account for (possibly besides other factors) the density or accessibility of particular types of jobs (e.g. part-time jobs vs. full-time jobs). The most common use of these models is the...

We propose a general methodology to measure labour market dynamics, inspired by the search and matching framework, based on the estimate of the transition rates between labour market states. We show how to estimate instantaneous transition rates starting from discrete time observations provided...