This paper applies the model presented by J. Merrick Jr. (2001) to estimate both the default recovery rates and the implied default probabilities of the Argentinean Sovereign Bonds during the crisis which took place in December 2001. Between October 19th and December 24th 2001, the average bond...

This paper re-examines the causal relationship between stock prices and the variables representing the real sector of the Pakistani economy.Using annual data from 1959/60 to 2004/05, examining the stochastic properties of the variables used in the analysis, and taking care of the shifts in the...

This paper introduces the idea that the variances or correlations in financial returns may all change conditionally and slowly over time. A multi-step local dynamic conditional correlation model is proposed for simultaneously modelling these components. In particular, the local and conditional...

This paper begins with an evaluation of the performance of the Malaysian market for financial derivatives. Despite a headstart, Malaysia appears to be lagging substantially when compared to the performance of other Asian derivative markets. While the other Asian markets though newer, have seen...

This thesis studies the role of the Egyptian securities market on saving development.It`s divided into two sections.section one studies the natural and importance of securities market through defining both the capital and securities markets ,determining the requirements of setting up stock...

Auf der Grundlage von Vergleichen zwischen dem früheren Steuersystem mit der Steuerreform von 2000/2005 und konkurrierenden Alternativen werden in dieser Studie Verteilungsund Umverteilungseffekte auf die Gruppe der Selbständigen (Freie Berufe und Unternehmer) und anderen sozioökonomischen...

The use of absolute return volatility has many modelling benefits. An illustration is given for the market risk measure, minimum capital requirements.

This paper examines several issues related to the introduction and trading of stock index futures contracts in Malaysia. Issues related to volatility, pricing efficiency, systematic patterns and lead-lag relationships are examined. These issues were studied by way of addressing six research...

Treasury allows to appreciate the enterprise's performance, having also a strategic role in terms of its training level and usage manners. Release (training) of treasury (cash-flow) is the proof of the strategic position of enterprise in relation to its products, its markets, its competitors and...

This paper re-examines the causal relationship between stock prices and macro variables like consumption expenditure, investment spending, and economic activity (measured by GDP) in Pakistan. Using annual data from 1959-60 to 1998-99 and applying cointegration and error correction analysis, the...