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...

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...

It is widely admitted that the inverse problem of estimating the distribution of a latent variable X* from an observed sample of X, a contaminated measurement of X*, is ill-posed. This paper shows that measurement error models for self-reporting data are well-posed, assuming the probability of...

Qualitative surveys enjoy huge popularity among business cycle analysts and research institutes since they provide fast information on the stance of the economy. However, in order to derive quantitative statements researchers have to rely on assumptions about the relation between quantitative...

This paper describes how to use the R package gateveys to establish a transparent and reproducible aggregation work flow for longitudinal data stemming from business tendency surveys (BTS). Business tendency survey researchers are addressed in particular though the suggested work flow could also...

A Box-Cox structural utility model is estimated on tax evasion survey data and it is shown that this model gives a better representation of individual utility maximizing behavior than a flexible model, represented by a polynomial of degree 3. It is found that an overall wage increase has a...

It is widely admitted that the inverse problem of estimating the distribution of a latent variable X* from an observed sample of X, a contaminated measurement of X*, is ill-posed. This paper shows that measurement error models for self-reporting data are well-posed, assuming the probability of...