Search Results - subject:"NTS"

A comparative study of firm value models : default risk of corporate bonds

Kim, Sung Ik - In: Finance research letters 56 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014473613

Systemic risk modeling with Lévy copulas

Liu, Yuhao; Djurić, Petar M.; Kim, Young Shin; Račev, … - In: Journal of Risk and Financial Management 14 (2021) 6, pp. 1-20

introduce the normal tempered stable (NTS) copula based on the Lévy process. We also propose a novel backtesting method for … CoVaR by a joint distribution correction. We test the proposed NTS model on the daily S&P 500 index and Dow Jones index with … in-sample and out-of-sample tests. The results show that the NTS copula outperforms traditional copulas in the accuracy …

Persistent link: https://www.econbiz.de/10012611808

Systemic risk modeling with Lévy copulas

Liu, Yuhao; Djurić, Petar M.; Kim, Young Shin; Račev, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-20

Persistent link: https://www.econbiz.de/10012588056

Value and aims of investing funds from operational programmes 2007-2013 by rural communes of Warmińsko-Mazurskie

Rakowska, Joanna - In: Olsztyn economic journal 13 (2018) 2, pp. 207-218

Persistent link: https://www.econbiz.de/10012221825

The productivity of public and private sector in Poland

Pater, Robert; Skica, Tomasz - In: Business and Economic Horizons (BEH) 10 (2014) 2, pp. 120-137

In the article a concept of comparing public and private sector effectiveness is presented. It is based on an analysis of the productivity of capital and labour in both sectors. For this purpose, the authors build growth model in the general and intensive form, taking into account public and...

Persistent link: https://www.econbiz.de/10011165414

К ВОПРОСУ О МОТИВАЦИИ УЧЕБНОЙ ДЕЯТЕЛЬНОСТИ СТУДЕНТОВ

ВАЛЕРЬЕВНА, ОСИПОВСКАЯ АННА - In: Экономический журнал 30 (2013) 3, pp. 89-93

Исследованы уровень и структура учебной мотивации студентов экономического факультета РГГУ. Общий невысокий уровень мотивации учебной деятельности, интереса...

Persistent link: https://www.econbiz.de/10011233491

Growth and divergence of the polish subregions over 1995–2006: a search for determinants and spatial patterns

Herbst, Mikolaj; Wójcik, Piotr - Volkswirtschaftliche Fakultät, … - 2011

This paper investigates the presence of sigma and beta convergence between the Polish subregions over 1995–2006. We verify for the absolute convergence, as well as for the convergence conditioned on the stock of physical capital, human capital and the size of the central city, these being...

Persistent link: https://www.econbiz.de/10009369620

Long-range dependence in the risk-neutral measure for the market on Lehman Brothers Collapse

Kim, Young Shin - In: Applied mathematical finance 23 (2016) 3/4, pp. 309-322

Persistent link: https://www.econbiz.de/10011704246

Does control-ownership divergence impair market liquidity in an emerging market? : evidence from China

Chu, Xiaojun; Liu, Qigui; Tian, Gary Gang - In: Accounting and finance : journal of the Accounting … 55 (2015) 3, pp. 881-910

Persistent link: https://www.econbiz.de/10011441357

A Panorama of the Peruvian Labor Markets in 2006

Ñopo, Hugo R.; Silva, Joana - Inter-American Development Bank - 2008

This is the latest version available of this document. It highlights the main stylized facts of the Peruvian labor markets, compiling and harmonizing the official statistics from different sources, namely the National Statistics Institute (INEI), the Ministry of Labor (MINTRA) and the Peruvian...

Persistent link: https://www.econbiz.de/10010673495