Über die Vorteilhaftigkeit von Copula-GARCH-Modellen im finanzwirtschaftlichen Risikomanagement Im Fokus des vorliegenden Beitrages stehen zwei Fragen: Wann sollte ein Copula-GARCH-Modell einem korrelationsbasierten Modell vorgezogen werden? Und welche parametrische Copula-Form sollte in diesem...

Linking Managerial Behaviour to Cost and Profit Efficiency in the Banking Sectors of Central and Eastern European Countries This paper analyzes cost and profit efficiency as well as the managerial behaviour of banks in nine Central and Eastern European countries, providing cross-country and...

This paper presents a flexible conceptual and methodological framework to model the dynamics of agricultural transition in the increasingly complex rural-urban interfaces of large cities. Our empirical analysis is based on data of a household survey conducted in the rural-urban interface of...

This paper proposes a system of semiparametric time-varying models for predictive regressions, where a locally stationary process in the form of time-varying autoregression is introduced to model varying-persistent predictors, and parameter instability and embedded endogeneity have also been...

The last 60 years of research striving to explain the post-earnings announcement drift (PEAD) have resulted in numerous potential explanations. This ”zoo” of explanations, limited academic consensus, and a literature relying on thousands of earnings announcement make researchers able to...

This paper investigates the heterogeneity of ethnic employment gaps using a new single-index based approach. Instead of stratifying our sample by age or education, we study ethnic employment gaps along a continuous measure of employability, the employment probability minority workers would have...

It is common to rank different categories by means of preferences that are revealed through data on choices. A prominent example is the ranking of political candidates or parties using the estimated share of support each one receives in surveys or polls about political attitudes. Since these...

It is often desired to rank different populations according to the value of some feature of each population. For example, it may be desired to rank neighborhoods according to some measure of intergenerational mobility or countries according to some measure of academic achievement. These rankings...

This article develops a theoretical model for evaluating mandatory activation of welfare recipients in complex activation programmes. The model aims to summarize and describe heterogeneous content that is difficult to comprehend because of local variations, staff characteristics, or other...

We analyze the cyclicality of risk weights of banks in the Czech Republic from 2008 to 2016. We differentiate between risk weights under the internal ratings-based and those under the standardized approach, consider the financial cycle, and employ wavelet coherence as a means of dynamic...