We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...

In this paper I analyse the effects of ignoring level shifts in the data generating process (DGP) on systems cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures suggested by Johansen (1988, 1995) and Saikkonen & Lütkepohl...

The credit crisis and the following sovereign debt crisis during 2007 and 2012 led to an increasing volatility of European corporate bond credit spreads. European investment grade credit spreads rose in 2007 and 2008 from 50 BP to over 350 BP. In the years after the credit spreads declined to...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

A hálózatos iparágakban, ahogy a postai szolgáltatásoknál is, a forgalomban lévő készpénz nagyméretű működőtőkét jelenthet. A Magyar Posta a levél- és csomagkézbesítésen kívül jelentős készpénzforgalmat bonyolít le: nyugdíjakat, segélyeket és készpénz-átutalási...

This paper examines the understanding of business concentration through the Her findahl-Hirschman Index (HHI), by showing that this index is conceptually a model according to which this concentration is the consequence of a renewal process. This process is prompted by firms engaging in different...

The Efficient Method of Moments (EMM) estimator popularized by Gallant and Tauchen (1996) is an indirect inference estimator based on the simulated auxiliary score evaluated at the sample estimate of the auxiliary parameters. We study an alternative estimator that uses the sample auxiliary score...

The paper proposes an e-Learning framework in entrepreneurship. The framework has three main components, for identification the business opportunities, for developing business scenarios and for risk analysis. A common database assures the components integration. The main components of this...

This study analyzes the investment horizon from a behavioral point of view by examining the overall influence of different investment horizons on expected returns and risk perception in Indonesia. We used students of Master of Science, Master of Management, and Doctorate Programs at the Faculty...

The regulatory framework for assessing and risk measurement in most companies focuses primarily on proposals of the New Capital Accord (Basel II). The Basel Committee gives importance to the concept of operational risk and requires that financial institutions cover possible loses with capital....