Given the unobserved nature of expectations, this paper employs latent variable analysis to examine three financial instability models and assess their out-of-sample forecasting accuracy. We compare a benchmark linear random walk model, which implies exogenous instability phenomena, with a...

As a case study of an ex-post evaluation of regulations, in this paper I evaluate the ‘uniform settlement rate requirement’, a regulation that was introduced in 1986 and that was applied to the international telephone market in the U.S. for more than 20 years. In a bilateral market between...

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...

This article studies from the hierarchical linear models, the hypothesis of positive incidence that the variables of pedagogy and educational commitment generate on the academic performance. For this, the scores obtained by 62769 middle school students in the 2012 PISA tests in 12 countries are...

This article intends to expose a process for the valuation of shares of the companies of the banking sector through business financial multiples, based on various statistical techniques such as Monte Carlo simulations and Bayesian models of continuous valuation of the relative indicators over...

Purpose - The global crises that emerged during the last two decades proved that economies that focus their development on demand are the most vulnerable during crises. However, development strategies depend on specific internal and external circumstances impacting development of particular...

Many empirical studies state that retail gasoline and diesel prices react more quickly when the crude oil price rises rather than decreases. In the paper, we confirm these asymmetric reactions of retail fuel prices in selected cities in the United States of America. We use the adjustment cost...

This paper presents a credit gap for Malta derived from a semi-structural multivariate filter. This modelling approach has several advantages over univariate approaches typically used, for example to construct the Basel gap. The multivariate filtering of observed data into trends and cycles is...

According to many studies, the transmission of oil prices to retail fuel prices is asymmetric. Fuel prices react faster if oil prices rise and more slowly if oil prices fall. We use the simple and dynamic asymmetry models, error correction models, threshold autoregressive cointegration, and an...

According to many studies, the transmission of oil prices to retail fuel prices is asymmetric. Fuel prices react faster if oil prices rise and more slowly if oil prices fall. We use the simple and dynamic asymmetry models, error correction models, threshold autoregressive cointegration, and an...