Showing 1 - 10 of 17
English Abstract: Armed with the copula distribution function that describes the asymmetric tail dependence, and the marginal distributions that capture the fat-tailed behavior, we estimate risk measures such as the Value-at-Risk and expected shortfall and evaluate whether those from the...
Persistent link: https://www.econbiz.de/10013220878
Korean Abstract: 본 연구는 장기과잉반응가설의 검정에서 생존자편의가 나타날 수 있는가를 검정하였다. 이를 위하여 생존분석방법을 이용하였으며 상장폐지율에 영향을 미치는 요인으로 관리종목 여부, 직전기간 수익률,...
Persistent link: https://www.econbiz.de/10012933177
English Abstract: The purpose of this study is to choose acceptable panel data for crisis prediction. According to … common sense view it would be best to use panel data of East Asian countries when it comes to predict crises in these … countries. Contrary to that view it is not, however. The paper considers 15 combinations of panel data. These panel data are …
Persistent link: https://www.econbiz.de/10012901265
Korean Abstract: 본 연구에서는 2000년부터 2005년까지의 6년 기간을 대상으로 상호저축은행들의 비용, 기술, 배분, 순수기술, 그리고 규모효율성 등 다양한 효율성을 수학적 프로그래밍방법을 이용하여 측정하고, 저축은행들의...
Persistent link: https://www.econbiz.de/10012933151
emerging market economies with quarterly data covering the period from September 2005 to September 2013, using dynamic panel … paper to analyse the effectiveness of foreign currency deposits in absorbing external shocks using country-level panel data …
Persistent link: https://www.econbiz.de/10013026007
Korean Abstract: 본 논문은 외환위기 이후 우리나라 가계소비행태의 예외적인 특징인 경기 동행성이 미시적으로 어느 연령층의 특이한 소비행태에서 비롯되었는지를 생애주기 모형을 통해 규명해 보고자 하였다. 외환위기 이후...
Persistent link: https://www.econbiz.de/10012894642
-employed borrowers, using individual panel data held by the Bank of Korea and investigates financial sector fragility based on the …
Persistent link: https://www.econbiz.de/10012927602
Korean Abstract: 통상 소비는 안정적인 흐름을 보이면서 성장률의 진폭을 완화하는 역할(counter-cyclicality)을 하지만 글로벌 금융위기 이후 우리나라에서는 소비부진이 계속되는 가운데 경기 수축기에 가계소비가 GDP보다 더 큰...
Persistent link: https://www.econbiz.de/10014238295
overall. We made an illustrative application, an estimation of Okun’s law with regional panel data from 16 local Korean … distributed. This estimator can be easily implemented with existing packages and our simulation indicates that it is well behaved … goverments by using the proposed estimator. The estimation results shows that the effects of growth rates on unemployment rates …
Persistent link: https://www.econbiz.de/10014242000
(ETFQC). A simulation study is provided to show the suggested estimator has an efficiency gain over the panel OLS estimator … 2009, Cho et al. 2015). However, applications of panel quantile regression with macro time series data are relatively rare …. This paper considers a two-way fixed effects quantile cointegration model with I(1) macro panel data. The model extends the …
Persistent link: https://www.econbiz.de/10014346011