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Determinants of Leverage and Agency Problems: A Regression Approach with Survey Data

Jong, Abe De; Dijk, Ronald Van - In: The European Journal of Finance 13 (2007) 6, pp. 565-593

This paper reports on empirical investigations of the determinants of leverage and agency problems. Use is made of private data obtained through questionnaires, and a regression model is estimated in which leverage and four agency problems are explained, i.e. direct wealth transfer, asset...

Persistent link: https://www.econbiz.de/10005438046

Stock selection, style rotation, and risk

Lucas, Andre; van Dijk, Ronald; Kloek, Teun - In: Journal of Empirical Finance 9 (2002) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10005152438

A stochastic recurrence equations approach for score driven correlation models

Blasques, Francisco; Lucas, André; Silde, Erkki - In: Econometric reviews 37 (2018) 1/5, pp. 166-181

Persistent link: https://www.econbiz.de/10012038166

Testing for parameter instability across different modeling frameworks

Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 223-246

Persistent link: https://www.econbiz.de/10011987424

Accounting for missing values in score-driven time-varying parameter models

Lucas, André; Opschoor, Anne; Schaumburg, Julia - In: Economics letters 148 (2016), pp. 96-98

Persistent link: https://www.econbiz.de/10011619937

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 875-887

Persistent link: https://www.econbiz.de/10011621857

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters : some comments

Forbes, Catherine Scipione - In: International journal of forecasting 32 (2016) 3, pp. 888-890

Persistent link: https://www.econbiz.de/10011621862

Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"

Perron, Pierre; Xu, Jiawen - In: International journal of forecasting 32 (2016) 3, pp. 891-892

Persistent link: https://www.econbiz.de/10011621864

Rejoinder to the discussion "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models"

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 893-894

Persistent link: https://www.econbiz.de/10011621879

The information in systemic risk rankings

Nucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; … - In: Journal of empirical finance 38 (2016), pp. 461-475

Persistent link: https://www.econbiz.de/10011664797