Similar Search Results

Essays on time series and causality analysis in financial markets

Bessler, David A. (contributor); … - 2008

dependence.The relationship of housing market prices for nine U.S. census divisions is studied in thefirst essay. The results … isexamined in the second essay. The general dependence structure and degree is estimatedusing copula functions. The findings show … weak dependence between stock marketindices and oil prices for most countries except for the large oil producing nations …

Persistent link: https://www.econbiz.de/10009464873

The distribution of the extreme daily share returns in the Athens Stock Exchange

Tolikas, Konstantinos; Brown, Richard - 2006

Extreme Value Theory (EVT) methods are used to investigate the asymptotic distribution of the lower tail for daily returns in the Athens Stock Exchange (ASE) over the period 1986 to 2001. Overall, the Generalised Logistic (GL) distribution is found to provide adequate descriptions of the...

Persistent link: https://www.econbiz.de/10009463526

An analysis of the distribution of extreme returns in the UK from 1975 to 2000

Brown, Richard; Sinclair, C. D.; Power, David; … - 2004

This paper seeks to characterise the distribution of extreme returns for a UK share index over the years 1975 to 2000. In particular, the suitability of the following distributions is investigated: Gumbel, Frechet, Weibull, Generalised Extreme Value, Generalised Pareto, Log-Normal and...

Persistent link: https://www.econbiz.de/10009463530

A Multivariate Integer Count Hurdle Model : Theory and Application to Exchange Rate Dynamics

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - 2007

Zn. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes …

Persistent link: https://www.econbiz.de/10009471644

A Bayesian approach to imposing curvature on distance functions

O'Donnell, Christopher J.; Coelli, Timothy J. - 2005

The estimated parameters of output distance functions frequently violate the monotonicity, quasi-convexity and convexity constraints implied by economic theory, leading to estimated elasticities and shadow prices that are incorrectly signed, and ultimately to perverse conclusions concerning the...

Persistent link: https://www.econbiz.de/10009479528

The influence of risk-taking on bank efficiency : evidence from Colombia

Sarmiento, Miguel; Galán Camacho, Jorge E. - 2015

Este trabajo presenta un modelo de frontera estocástica con parámetros aleatorios en el componente de ineficiencia aplicado al sector bancario. Este modelo permite capturar la influencia de las exposiciones de riesgo sobre la eficiencia bancaria y distingue estos efectos entre bancos con...

Persistent link: https://www.econbiz.de/10012530496

Estimation and Inference for Threshold Effects in Panel Data Stochastic Frontier Models

Yelou, Clement; Larue, Bruno; Tran, Kien C. - 2007

One of the most enduring problems in cross-section or panel data models is heterogeneity among individual observations. Different approaches have been proposed to deal with this issue, but threshold regression models offer intuitively appealing econometric methods to account for heterogeneity....

Persistent link: https://www.econbiz.de/10009444965

Lietuvos ūkio veiksnių poveikio tiesioginėms užsienio investicijoms tyrimas

Sabaliauskaitė, Irmina - 2009

The purpose of the final Master study – to evaluate foreign direct investment’s (FDI) dependence, how main economic …

Persistent link: https://www.econbiz.de/10009479102

Nonparametric Estimation and Inference for the Copula Parameter in Conditional Copulas

Acar, Elif Fidan - 2010

The primary aim of this thesis is the elucidation of covariate effects on the dependence structure of random variables … via analyses of gestational age-specific twin birth weights and the impact of change in body mass index on the dependence …

Persistent link: https://www.econbiz.de/10009455311

A Model of Customer Retention of Dissatisfied Business Services Customers

Yanamandram, Venkata K.; White, L. - 2007

review paper synthesises the findings from previous studies on switching barriers, and relationship variables, dependence …) inertia. These factors are mediated by dependence and calculative commitment. This is the first comprehensive study of the …

Persistent link: https://www.econbiz.de/10009457396