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Stock Market's Reactions to Revelation of Tax Evasion: An Empirical Assessment
Brunhart, Andreas - In: Swiss Journal of Economics and Statistics 150 (2014) 3, pp. 161-190
Additionally to the financial crisis causing a world recession, Liechtenstein's financial sector has been challenged by … authorities. This paper investigates the impact of this affair on the daily stock prices of banks from Liechtenstein. An … unconventional augmented GARCH-model (labelled as "augmented amalGARCH"), which outperforms conventional models, is introduced and …
Persistent link: https://www.econbiz.de/10011933322
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Stock Market's Reactions to Revelation of Tax Evasion: An Empirical Assessment
Brunhart, Andreas - In: Swiss Journal of Economics and Statistics (SJES) 150 (2014) III, pp. 161-190
Additionally to the financial crisis causing a world recession, Liechtenstein's financial sector has been challenged by … authorities. This paper investigates the impact of this affair on the daily stock prices of banks from Liechtenstein. An … unconventional augmented GARCH-model (labelled as "augmented amalGARCH"), which outperforms conventional models, is introduced and …
Persistent link: https://www.econbiz.de/10011276127
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Stock market's reactions to revelation of tax evasion : an empirical assessment
Brunhart, Andreas - 2012 - update
banks from Liechtenstein. An "unconventional" augmented GARCH-model (labelled as "augmented amalGARCH"), which outperforms …Additionally to the financial crisis causing a world recession, Liechtenstein’s financial sector has been challenged by …
Persistent link: https://www.econbiz.de/10010128449
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Stock market's reactions to revelation of tax evasion: An empirical assessment
Brunhart, Andreas - 2012
from Liechtenstein. An unconventional augmented GARCH-model (labelled as augmented amalGARCH), which outperforms …Additionally to the financial crisis causing a world recession, Liechtenstein's financial sector has been challenged by …
Persistent link: https://www.econbiz.de/10010368150
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Evaluating the effect of "Zumwinkel-Affair" and financial crisis on stock prices in Liechtenstein: An unconventional augmented GARCH-approach
Brunhart, Andreas - 2011
Liechtenstein's economy has been heavily affected by the international economic downturn during the financial crisis …. Additionally to the deep world recession, Liechtenstein's financial sector was challenged by the Zumwinkel-Affair (data of … impact of this affair, separated from the financial crisis, on the daily stock prices of two banks from Liechtenstein …
Persistent link: https://www.econbiz.de/10010281963
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Evaluating the effect of "Zumwinkel-Affair" and financial crisis on stock prices in Liechtenstein : an "unconventional" augmented GARCH-approach
Brunhart, Andreas - 2011 - Preliminary version
Liechtenstein's economy has been heavily affected by the international economic downturn during the financial crisis …. Additionally to the deep world recession, Liechtenstein's financial sector was challenged by the "Zumwinkel-Affair" (data of … impact of this affair, separated from the financial crisis, on the daily stock prices of two banks from Liechtenstein …
Persistent link: https://www.econbiz.de/10009153349
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Stock market's reactions to revelation of tax evasion : an empirical assessment
Brunhart, Andreas - In: Swiss journal of economics and statistics 150 (2014) 3, pp. 161-190
Additionally to the financial crisis causing a world recession, Liechtenstein's financial sector has been challenged by … authorities. This paper investigates the impact of this affair on the daily stock prices of banks from Liechtenstein. An … unconventional augmented GARCH-model (labelled as "augmented amalGARCH"), which outperforms conventional models, is introduced and …
Persistent link: https://www.econbiz.de/10010469942
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Systemic risk for financial institutions of major petroleum-based economies: The role of oil
Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔcoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...
Persistent link: https://www.econbiz.de/10012064299
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Systemic risk for financial institutions of major petroleum-based economies : the role of oil
Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017 - This version: June 2017
This paper examines the relationship between systemic risk measures across 546 financial institutions in major petroleum-based economies and oil movements. In this paper, we follow two steps. In the first step, we estimate the delta conditional VaR (CoVaR) for the financial institutions and...
Persistent link: https://www.econbiz.de/10011662132
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Systemic risk for financial institutions of major petroleum-based economies : the role of oil
Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017 - This version: November 5, 2017
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔCoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...
Persistent link: https://www.econbiz.de/10012062097