We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...

This study attempts to discover and analyze the predictive power of stock messages, posting on financial message boards, on future stock price directional movements. We construct a set of robust models based on sentiment analysis and data mining algorithms. Our dataset consist of 447,393...

Online users often need to make adoption decisions without accurate information about the product values. An informational cascade occurs when it is optimal for an online user, having observed others' actions, to follow the adoption decision of the preceding individual without regard to his own...

This paper focusses on survey expectations and discusses their uses for testing and modeling of expectations. Alternative models of expectations formation are reviewed and the importance of allowing for heterogeneity of expectations is emphasized. A weak form of the rational expectations...

The formation of the European Union (EU) is the one of the biggest political – economic events of the last 50 years. The aim of this study is to develop EU economy functioning system dynamic model. Main research method is system dynamics. General scheme of EU economy system dynamic model is...

Goal: This research aims to seek evidence of inconsistencies or signs of fraud or other financial crimes in the assets declared by candidates for political office by applying the Newcomb-Benford Law (NB).Theoretical foundation: The mainly empirical research is based on the ability of asset...

The problem of multicollinearity in the assessments of coefficients is well established. However, it is rarely researched in the estimations of macroeconomic variables and economic performance of developing countries. Predicatively, it has impacts on the estimations of coefficients that should...

This paper shows which statistical techniques can be used to validate simulation models, depending on which real-life data are available. Concerning this availability, three situations are distinguished (i) no data, (ii) only output data, and (iii) both input and output data. In case (i) - no...

A new quantile regression estimator is developed and it is shown to be consistent and asymptotically normal. The estimator is based on estimating functions to which one can obtain consistent roots by finding the minimax of a certain deviance function. This function is conveniently constructed to...