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Predicting Covariance Matrices with Financial Conditions Indexes
Opschoor, Anne; van Dijk, Dick; van der Wel, Michel - 2013
We model the impact of financial conditions on asset market volatility and correlation. We propose extensions of (factor-)GARCH models for volatility and DCC models for correlation that allow for including indexes that measure financial conditions. In our empirical application we consider daily...
Persistent link: https://www.econbiz.de/10010326147
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The informativeness of stochastic frontier and programming frontier efficiency scores: Cost efficiency and other measures of bank holding company performance
Eisenbeis, Robert A.; Ferrier, Gary D.; Kwan, Simon H. - 1999
This paper examines the properties of the X-inefficiencies in U.S. bank holding companies derived from both stochastic and linear programming frontiers. This examination allows the robustness of results across methods to be compared. While we find that calculated programming inefficiency scores...
Persistent link: https://www.econbiz.de/10010397551
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Bank capital structure, regulatory capital, and securities innovations
Benston, George; Irvine, Paul; Rosenfeld, Jim; Joseph … - 2000
Although financial instruments that, in effect, permit corporations to treat preferred stock dividends as tax-deductible interest have been used by nonfinancial corporations since late 1993, bank holding companies (BHCs) did not issue these trust-preferred securities (TPS) until 1996, when the...
Persistent link: https://www.econbiz.de/10010397620
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Business complexity and risk management: Evidence from operational risk events in U.S. bank holding companies
Chernobai, Anna; Ozdagli, Ali K.; Wang, Jianlin - 2016
How does business complexity affect risk management in financial institutions? The commonly used risk measures rely on either balance-sheet or market-based information, both of which may suffer from identification problems when it comes to answering this question. Balance-sheet measures, such as...
Persistent link: https://www.econbiz.de/10011754813
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Foreign investment, regulatory arbitrage, and the risk of U.S. banking organizations
Frame, W. Scott; Mihov, Atanas; Sanz, Leandro - 2017
This study investigates the implications of cross-country differences in banking regulation and supervision for the international subsidiary locations and risk of U.S. bank holding companies (BHCs). We find that U.S. BHCs are more likely to operate subsidiaries in countries with weaker...
Persistent link: https://www.econbiz.de/10011776828
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A conversation with 590 nascent entrepreneurs
Campbell, Jeffrey R.; De Nardi, Mariacristina - 2007
a business does not seem to be an important determinant of entry into entrepreneurship for males, while it seems to be …
Persistent link: https://www.econbiz.de/10010292177
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Differential market entry determinants for for-profit and non-profit long-term care providers
Nakazawa, Katsuyoshi - 2013
This study considers market entry determinants for both for-profit and non-profit at-home long-term care providers in … Japan. It examines market structure incentives and barriers to entry using a panel dataset of 48 Japanese municipalities for … the 2003-2011 period. Estimation results show that for-profits and non-profits face different determinants of entry …
Persistent link: https://www.econbiz.de/10010294409
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Entry and Exit of Physicians in a two-tiered public
Gächter, Martin; Schwazer, Peter; Theurl, Engelbert - 2011
Firm turnover has recently attracted increased interest in economic research. The entry of new firms increases … entry usually leads to increased innovation. The health care market exhibits important differences as compared to other … effects of entries and exits in health care markets are less obvious. The following paper studies the determinants of entry …
Persistent link: https://www.econbiz.de/10010294781
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The Effect of Entry on R&D Investment of Leaders: Theory and Empirical Evidence
Czarnitzki, Dirk; Etro, Federico Gabriele; Kraft, Kornelius - 2008
We develop a simple model of competition for the market that shows that, contrary to the Arrow view, endogenous entry …
Persistent link: https://www.econbiz.de/10010298655
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Die neue neue Außenhandelstheorie: das Melitz-Modell
Hofmann, Patricia - 2009
a new class of trade models: the New New Trade Theory which accounts for firm heterogeneity and market entry costs. The …
Persistent link: https://www.econbiz.de/10010300055