We examine efficiency in Islamic and conventional banks in the Gulf Cooperation Council (GCC) region (2004-2007) using financial ratio analysis (FRA) and data envelopment analysis (DEA). From the FRA, Islamic banks are less cost efficient but more revenue and profit efficient than conventional...

Several recent studies advocate the use of nonparametric estimators of daily price vari-ability that exploit intraday information. This paper compares four such estimators, realisedvolatility, realised range, realised power variation and realised bipower variation, by examiningtheir in-sample...

This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects...

In this paper, we consider the stochastic ray production function that has been revived recently by Henningsen et al. (2017). We use a profit-maximizing framework to resolve endogeneity problems that are likely to arise, as in all distance functions, and we derive the system of equations after...

Several recent studies advocate the use of nonparametric estimators of daily price variability that exploit intraday information. This paper compares four such estimators, realised volatility, realised range, realised power variation and realised bipower variation, by examining their in-sample...

We investigate the procedure used by Ané and Geman (2000) to recover the moments of information flow from high frequency data in a model which generalizes the subordinated / mixture of distributions process in Clark (1973). Using Monte Carlo experiments we show that the third and higher moments...