Showing 41 - 50 of 75
The effect of Swedish regional investment grants during 1990-1999 on firm performance, in terms of returns on equity and number of employees, were studied using a propensity-score matching-method to control for sample selection. Firms that received grants did not perform better in terms of...
Persistent link: https://www.econbiz.de/10008917805
The effect of Swedish regional investment grants during 1990-1999 on firm performance, in terms of returns on equity and number of employees, were studied using a propensity-score matching-method to control for sample selection. Firms that received grants did not perform better in terms of...
Persistent link: https://www.econbiz.de/10009150724
Many service industry firms strive hard to fill free capacity in order to cover their costs for a fixed capital stock. This paper presents a time series model where the capacity constraint is an integral part. The integer-valued autoregressive model builds on a simple idea of how daily time...
Persistent link: https://www.econbiz.de/10014620903
Persistent link: https://www.econbiz.de/10002652270
We argue that the practise of valuing the portfolio is important for the calculation of the VaR. In particular, the seller (buyer) of an asset does not face horizontal demand (supply) curves. We propose a partially new approach for incorporating this fact in the VaR and in an empirical...
Persistent link: https://www.econbiz.de/10013116709
The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the Baltic state stock exchanges and that of Moscow we find...
Persistent link: https://www.econbiz.de/10013155485
The impact of news of the Moscow and New York stock market exchanges on the returns and volatilities of the Baltic state stock market indices is studied using daily return data for the period of 2000-2005. A nonlinear time series model that accounts for asymmetries in the conditional mean and...
Persistent link: https://www.econbiz.de/10012731468
The effects of temporal aggregation on asymmetry properties and the kurtosis of returns based on the NYSE composite index are studied. There is less asymmetry in responses to shocks for weekly and monthly frequencies than for the daily frequency. Kurtosis is not smaller for the lower frequencies
Persistent link: https://www.econbiz.de/10012739379
The paper studies two approaches to modelling conditional skewness in a nonlinear model for stock returns. It is found that a normal distribution can be rejected. A log-generalized gamma distribution with one time-varying density parameter, and in particular a Pearson IV specification with three...
Persistent link: https://www.econbiz.de/10012786328
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10012786446