Showing 1 - 10 of 199
This paper estimates commercial banks’ efficiency in three relatively homogenous groups of countries with different … European integration and economic situation are visible also in banking efficiency. Thus we test the hypothesis that the higher … degree of European economic integration and economic development goes hand in hand with higher baking efficiency. Employing …
Persistent link: https://www.econbiz.de/10005413069
Accurate modeling of extreme price changes is vital to financial risk management. We examine the small sample properties of adaptive tail index estimators under the class of student-t marginal distribution functions including GARCH and propose a model-based bias-corrected estimation approach....
Persistent link: https://www.econbiz.de/10005407899
In this paper we consider bayesian semiparametric regression within the generalized linear model framework. Specifically, we study a class of autoregressive time series where the time trend is incorporated in a nonparametrically way. Estimation and inference where performed through Markov Chain...
Persistent link: https://www.econbiz.de/10005407984
The literature on corporate credit risk modeling for privately-held firms is scarce. Although firms with unlisted equity or debt represent a significant fraction of the corporate sector worldwide, research in this area has been hampered by the unavailability of public data. This study is an...
Persistent link: https://www.econbiz.de/10005413176
Linear models with error components are widely used to analyze panel data. Some applications of these models require knowledge of the probability densities of the error components. Existing methods handle this requirement by assuming that the densities belong to known parametric families of...
Persistent link: https://www.econbiz.de/10005119172
This paper seeks whether the intraday patterns observed in most stock markets hold for an individual stock from the Istanbul Stock Exchange where the trading ceases for two hours during lunchtime. It investigates the most treated topics in market finance like liquidity, returns and volatility...
Persistent link: https://www.econbiz.de/10005561617
The present paper develops a basic framework for evaluating and optimizing profits in a business operation. In developing a business we are often faced with an infinity of choices ranging from what products or services to sell and what customers to target to how to structure and manage the...
Persistent link: https://www.econbiz.de/10005561773
market equilibrium. This law has powerful implications for productive efficiency analysis, which have remained unexploited …). Utilizing the relation between the industry level and the firm level cost efficiency measures, we propose to apply a set of … input prices that is common for all firms and that maximizes cost efficiency of the industry. Our framework allows for firm …
Persistent link: https://www.econbiz.de/10005413250
We discuss the nonparametric approach to profit efficiency analysis at the firm and industry levels in the absence of …
Persistent link: https://www.econbiz.de/10005413294
This paper is the first attempt to estimate commercial banks’ efficiency in the Visegrad region before joining the EU … and also to consider differences in efficiency across the countries. Employing Data Envelopment Analysis, we analyze which … efficiency since 1999. Incorporating censored Tobit regression analysis we try to detect whether the cross-country differences …
Persistent link: https://www.econbiz.de/10005561576