The purpose of this paper is to present a comprehensive simulation study on the finite sample properties of minimum-distance and maximum-likelihood estimators for bivariate and multivariate parametric copulas. For five popular parametric copulas, classical maximum-likelihood is compared to a...

This paper provides evidence on the impact of internal finance constraints, growth opportunities and debt overhang on the firm-level investment in 14 Asian countries over the period of 1990-2010. We used Panel smooth transition regression (PSTR) that allows for time-varying effects through the...

We develop a dynamic panel threshold model of capital structure to test the dynamic trade-off theory, allowing for asymmetries in firms' adjustments toward target leverage. Our novel estimation approach is able to consistently estimate heterogeneous speeds of adjustment in different regimes as...

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The aim is to analyze its performance, and mitigate its pitfalls by incorporating conditional variance estimates, as generated by a GARCH model. Notably, this paper tests several...

Understanding the dynamics of the leverage ratio is at the heart of the empirical research about firms' capital structure, as they can be very different under alternative theoretical models. The pillars of almost all empirical applications are the maintained assumptions of poolability and...

Understanding the dynamics of the leverage ratio is at the heart of the empirical research about firms' capital structure, as they can be very different under alternative theoretical models. The pillars of almost all empirical applications are the maintained assumptions of poolability and...

This paper provides evidence on the impact of internal finance constraints, growth opportunities and debt overhang on the firm-level investment in 14 Asian countries over the period of 1990-2010. We used Panel Smooth Threshold Regression (PSTR) which relaxes the assumption of the a priori...

This paper illustrates a case where an increase of the in-terest rates improves the economic activity and reduces incomeinequality. This theoretical exercise deals with a simple model ofdisequilibrium with accountant identities of budget constraints. Inaddition, and following previous models,...