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The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt
Ezzat, Hassan - Volkswirtschaftliche Fakultät, … - 2012
Modeling volatility during a financial crisis where massive shocks are generated presents an ideal environment for … investigating the dynamics of volatility during periods of extreme fluctuations for comparison with volatility during more tranquil … periods. The objective of this paper is to study volatility of daily stock returns listed on the Egyptian Exchange during the …
Persistent link: https://www.econbiz.de/10011111235
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Volatility and liquidity in the Italian money market
Palombini, Edgardo - Volkswirtschaftliche Fakultät, … - 2003
This paper constructs unbiased and model-free measures of daily and hourly volatility of the overnight interest rate … increases in volatility and the most notable variations of its intraday pattern occur at the end of the reserve maintenance … period and at the end of each quarter. The average effect on market volatility of Eurosystem money market operations and …
Persistent link: https://www.econbiz.de/10011114089
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Using Your Ties to Get a Worse Job? The Differential Effects of Social Networks on Quality of Employment in Colombia
Deguilhem, Thibaud - 2018
This article examines the effect of social networks by investigating how mobilizing family, friendship or kindship ties in job searches affects the quality of employment (QoE) using a mixed approach. Drawing from socioeconomic literature on the segmented labor market, the authors propose an...
Persistent link: https://www.econbiz.de/10012934201
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Technical Efficiency of Shipping Banks: A DEA Approach
Sambracos, Evangelos; Maniati, Marina - Volkswirtschaftliche Fakultät, … - 2015
The international transportation Industry involves various sectors, shipping being one with particular characteristics which differentiates it from others. Within this scope, commercial banks are one of the main entities that may offer the required funding in a market that is characterized by...
Persistent link: https://www.econbiz.de/10011210480
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Divorce and the Business cycle: A cross-country analysis
González-Val, Rafael; Marcén, Miriam - Volkswirtschaftliche Fakultät, … - 2015
In this paper, we examine the role of the business cycle in divorce. To do so, we use a panel of 30 European countries covering the period from 1991 to 2010. We find a negative effect of the unemployment rate on the divorce rate, pointing to a pro-cyclical evolution of the divorce rate, even...
Persistent link: https://www.econbiz.de/10011210485
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Measuring relative efficiency of secondary education in selected EU and OECD countries: the case of Slovenia and Croatia
Aristovnik, Aleksander; Obadić, Alka - Volkswirtschaftliche Fakultät, … - 2014
This article continues on a number of previous studies by other scientists in investigating secondary education efficiency by applying a non-parametric methodology. In this respect, the purpose of the article is to review some previous studies on measuring the efficiency of public (secondary)...
Persistent link: https://www.econbiz.de/10011267849
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Forecasting Coherent Volatility Breakouts
Didenko, Alexander; Dubovikov, Michael; Poutko, Boris - Volkswirtschaftliche Fakultät, … - 2015
The paper develops an algorithm for making long-term (up to three months ahead) predictions of volatility reversals … minimal covers with decreasing scale is used to decompose volatility into two dynamic components: specific and structural. We … introduce two separate models for both, based on different principles and capable of catching long uptrends in volatility. To …
Persistent link: https://www.econbiz.de/10011267868
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Soutenabilité des finances publiques au Cameroun : Approche de Bohn (1998)
Edielle, Ngwa; Jackson, T. H. - Volkswirtschaftliche Fakultät, … - 2006
In this paper, we test sustainability of Cameroon’s fiscal policy using the approach developed by Bohn (1998). We apply non parametric and semi-parametric regressions with time depending coefficients to estimate fiscal policy reaction function in Cameroon between 1975 and 2005. We find out...
Persistent link: https://www.econbiz.de/10011267875
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The impact of CAF enablers on job satisfaction: the case of the Slovenian law enforcement agency
Tomaževič, Nina; Seljak, Janko; Aristovnik, Aleksander - Volkswirtschaftliche Fakultät, … - 2014
In recent decades, public sector organizations in Slovenia and across the European Union have been placing ever more emphasis on the quality and excellence of their operations. For this purpose, they use different management tools and/or excellence models such as the EFQM model (European...
Persistent link: https://www.econbiz.de/10011267886
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A methodological proposal to estimate changes of residential property value: case study developed in Bogota
Andres, Jorge; Calvo, Perdomo; Andres, Jorge; Calvo, Perdomo - Volkswirtschaftliche Fakultät, … - 2011
This article is an empirical study of residential land values in the vicinity of the TransMilenio system (Bus Rapid Transit, BRT) in Bogota´ (Colombia). The results have been established through impact evaluation by means of nonparameteric approaches (Propensity Score Matching, PSM) and...
Persistent link: https://www.econbiz.de/10011267892