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Are investments in islamic REITs susceptible to forex uncertainty: wavelet analysis
Mokhtar, Maznita; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013
Since its debut into the islamic capital markets landscape in 2005, islamic Real Estate Investment Trusts (REITs) have not shown significant progress in attracting foreign investment, limiting their potential as the ideal asset class for the Shariah compliant investor. It was suggested that a...
Persistent link: https://www.econbiz.de/10011207083
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Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen
Wied, Dominik; Arnold, Matthias; Bissantz, Nicolai; … - In: AStA Wirtschafts- und Sozialstatistisches Archiv 6 (2013) 3, pp. 87-103
We analyze a new fluctuation test for constant correlation with respect to its properties and possible applications in …
Persistent link: https://www.econbiz.de/10010994210
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The analysis of cross-classified categorical data
Fienberg, Stephen E. - 1980 - 2. ed.
Persistent link: https://www.econbiz.de/10004602432
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Real Output Costs of Financial Crises: a Loss Distribution Approach
Kapp, Daniel; Vega, Marco - Departamento de Economía, Pontificia Universidad … - 2012
Se estudian las pérdidas de PBI a través de países originadas por crisis financieras. Las pérdidas se analizan en términos de frecuencia (número de eventos de pérdida) y severidad (monto de pérdida por cada evento). Se utiliza el enfoque de densidad total de las perdidas (enfoque LDA por...
Persistent link: https://www.econbiz.de/10010990278
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Real output costs of financial crises: a loss distribution approach
Kapp, Daniel; Vega, Marco - Volkswirtschaftliche Fakultät, … - 2012
therefore analyze GDP losses in terms of frequency (number of loss events per period) and severity (loss per occurrence). Crises …' frequency, severity, and the associated global output losses over periods of five years are identified on the basis of Laeven … and Valencia(2008). Applying the Loss Distribution Approach used in insurance and operational risk theory and practice, we …
Persistent link: https://www.econbiz.de/10009397165
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The Real Output Costs of Financial Crisis: A Loss Distribution Approach
Kapp, Daniel; Vega, Marco - Banco Central de Reserva del Perú - 2012
severity (loss per occurrence). We perform the Loss Distribution Approach (LDA) to estimate a multi-country aggregate GDP loss …We study cross-country GDP losses due to financial crises in terms of frequency (number of loss events per period) and …
Persistent link: https://www.econbiz.de/10010550420
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Sweden; Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector
International Monetary Fund (IMF); International … - 2011
This paper describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden. The balance sheet stress tests for four major banks were complemented with tests based on the CCA framework, a risk-adjusted balance sheet relating bank asset...
Persistent link: https://www.econbiz.de/10011245016
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A Simple Forecasting Accuracy Criterion Under Rational Expectations; Evidence From the World Economic Outlook and Time Series Models
Barrionuevo, José M. - International Monetary Fund (IMF) - 1992
A simple criterion based on the properties of the forecast error is presented to evaluate the accuracy of forecasts. The efficiency conditions of an optimization problem are used to show that under rational expectations the standard statistical conditions are necessary, but not sufficient to...
Persistent link: https://www.econbiz.de/10005264063
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Assessing Fiscal Sustainability Under Uncertainity
Barnhill, Theodore M.; Kopits, George - International Monetary Fund (IMF) - 2003
Unlike conventional fiscal sustainability assessments, the Value-at-Risk approach developed in this paper explicitly captures the contribution of key risk variables to public sector vulnerability. In an illustrative application to Ecuador, the VaR approach confirms a significant risk of...
Persistent link: https://www.econbiz.de/10005826365
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Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates
Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003
This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...
Persistent link: https://www.econbiz.de/10005769039