A general Markov-Switching autoregressive conditional mean model, valued in the set of nonnegative numbers, is considered. The conditional distribution of this model is a finite mixture of nonnegative distributions whose conditional mean follows a GARCH-like dynamics with parameters depending on...

The impact that informed and uninformed agents have on market prices is crucial for informational issues in financial markets. Informed trades are associated with institutional operators while uninformed trades are executed on behalf of retail investors. Using high-frequency data from Euronext...

There have been several crises in the world economy since the end of the last century. The developing economies were ones that have suffered the most, considering the level of openness, the weak institutional framework, and the market vulnerability to unpredictable shocks. One of the instruments...

The impact that informed and uninformed agents have on market prices is crucial for informational issues in financial markets. Informed trades are associated with institutional operators while uninformed trades are executed on behalf of retail investors. Using high-frequency data from Euronext...

Econometrics is the area of statistics concerned in analyzing economic data, for both economic and business applications. This document, introduces the intermediate concepts of this area, for students already familiarized with basic econometric theory. In particular, topics concerning...

The computation of the likelihood function and the term structure of probabilistic forecasts in higher-order INAR(p) models are qualified numerically intractable and the literature has considered various approximations. Using the notion of compound autoregressive process, we propose an exact and...

We investigate the international propagation of fiscal policy shocks originated in the United States using a Global VAR framework. We identify shocks to US tax rates and government spending by using narrative series as external instruments, following the proxy SVAR methodology. The main results...

We propose a multiplicative autoregressive conditional proportion (ARCP) model for (0,1)-valued time series, in the spirit of GARCH (generalized autoregressive conditional heteroscedastic) and ACD (autoregressive conditional duration) models. In particular, our underlying process is defined as...

The thesis of this paper is mathematical formulation of the laws of Economics with application of the principle of Least Action of classical mechanics. This paper is proposed as the rigorous mathematical approach to Economics provided by the fundamental principle of the physical science – the...

In this paper we introduce a multiplicative integer-valued time series model, which is defined as the product of a unit-mean integer-valued independent and identically distributed (iid) sequence, and an integer-valued dependent process. The latter is defined as a binomial thinning operation of...