The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...

In this study, we undertook an econometric analysis aim to forecast the disaggregated series of ICMS administered by Confaz. Three methodologies were applied: i) the dynamic structural model (BSTS); ii) the dynamic linear model (MLD); and iii) the dynamic factorial model (MFD), all of them...

This paper proposes a dynamic spatial autoregressive quantile model. Using predetermined network information, we study dynamic tail event driven risk using a system of conditional quantile equations. Extending Zhu, Wang, Wang and Härdle (2019), we allow the contemporaneous dependency of nodal...

Estimating economic earnings mobility is imperative for understanding the degree to which low pay employment is a temporary or long-term position. The current literature estimates transition probabilities between low and higher pay. This study extends the focus to identify the underlying...