Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to...

This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...

This study examined the long-term performance of open market share repurchase announcements made by companies listed on the JSE during their reporting periods including 1 July 1999 to 2009. A total of 195 open market share repurchase announcements were identified. A maximum outperformance of...

Corruption has been shown to undermine the efficiency of market-based economies by allowing participants to profit from illegal rent-seeking activities, which decrease public support for business and increase the cost of capital (Zingales, 2015). Over the past decade, the Competition Commission...

Investors can benefit when incorporating the information-signalling effect of share repurchases in their investment strategies. Previous South African studies on open market share repurchases confirmed the globally observed signalling-effect, but found open market share repurchases not to be the...

For the first time in Indonesia, we jointly analyse several economic statistics and ethnic diversity indicators at national and local levels. Nationally, we find very high levels of economic inequality, measured from household asset values or consumption expenditure. In contrast, the levels of...

Social programmes for poverty alleviation involve eligibility rules and transfer rules that often proxy-means tests. We propose to specify the estimator in connection with the poverty alleviation problem. Three distinct stages emerge from the optimization analysis: the identification of the...

This paper introduces a new methodology to target direct transfers against poverty. Our method is based on observable correlates and on estimation methods that focus on the poor. Using data from Tunisia, we estimate ‘focused’ transfer schemes that improve anti-poverty targeting performances....

We study the relationship of wages, human capital accumulation and work organisation in Morocco using matched worker-firm data for Metallurgical-electrical and Textile-clothing firms. While wages are found to rise with all human capital characteristics, returns to education and experience are...

We draw some lessons from the Tunisian experience of social reforms and associated civil conflict. Our main interest is the riots that occurred after subsidy cuts and their possible substitution of price subsidies by direct cash transfers. We propose new welfare indicators apt to assess policy...