Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used,...

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...

We investigate, using a number of econometric tools, the impact of jumps on the stylised facts of returns and volatility. We look at 100 stocks, representing 10 sectors over the period 2000-2010. We find that jumps had little or no impact on the stylised facts of returns and volatility. The...

This paper considers 100 stocks from 10 sectors over the period 2000 to 2010 to examine the impact of market conditions, sector type and horizon on the forecasting performance of various volatility models. Out-of-sample forecasts are generated with standard daily GARCH and with ARFIMA/HAR models...

This paper examines the relationship between efficiency and default risk in Islamic banks (IBs) and Conventional banks (CBs) in Gulf Cooperation Countries (GCC) and three Non-GCC countries over the period 2002-2010. Efficiency and default risk are measured using Stochastic Frontier Approach...

We compare, using data envelopment analysis (DEA), the performance of Islamic and conventional banks prior to, during and immediately after the 2008 financial crisis (2004-2009). There is no significant difference in mean efficiency between conventional and Islamic banks when efficiency is...

This paper examines the relationship between efficiency and default risk in Islamic banks (IBs) and Conventional banks (CBs) in Gulf Cooperation Countries (GCC) and three Non-GCC countries over the period 2002-2010. Efficiency and default risk are measured using Stochastic Frontier Approach...

Using a new iterative algorithm that tests for possible breaks in the coefficients and residual variances of recursively identified structural equations, we examine changes in the parameters of the oil market model of Kilian (2009). Our analysis reveals breaks in the coefficients of the oil...

Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used,...

Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used,...