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This paper analyzes the effect of the recent market crash on the international diversification of equity portfolios from the perspective of dependence structure. We use the generalized Pareto distribution to fit the left and the right tail of each return distribution in order to evaluate the...
Persistent link: https://www.econbiz.de/10015247603
This paper investigates the determinants of tourism in Namibia for the period 1996 to 2005. The results indicate that an increase in trading partners’ income, depreciation of the exchange rate, improvement in Namibia’s infrastructure, sharing a border with Namibia are associated with an...
Persistent link: https://www.econbiz.de/10015243760
This paper analyzes the measurement of credit risk capital requirements under the new Basel Accord (Basel II): the Internal Rating Based approach (IRB). It focuses in the analytical formula for its calculation, since its derivation to the main assumptions behind it. We also estimate the credit...
Persistent link: https://www.econbiz.de/10015215199
, given its equivalent of the widely used LR test. We include an illustrative simulation to compare a set of distributions …
Persistent link: https://www.econbiz.de/10015215813
Strategic management of universities must build the best possible relation between inputs and outputs. One relevant question, in this perspective, is whether the unit is making the best use of existing resources, or whether technical efficiency is in place. Here we address the question of...
Persistent link: https://www.econbiz.de/10015217275
In Data Envelopment Analysis (DEA) context financial data/ ratios have been used in order to produce a unified measure of performance metric. However, several scholars have indicated that the inclusion of financial ratios create biased efficiency estimates with implications on firms’ and...
Persistent link: https://www.econbiz.de/10015223162
As a generalization of k-out-of-n:F and consecutive k-out-of-n:F systems, the consecutive k-within-m-out-of-n:F system consists of n linearly ordered components such that the system fails iff there are m consecutive components which include among them at least k failed components. In this...
Persistent link: https://www.econbiz.de/10015224340
Indirect inference estimators (i.e., simulation-based minimum distance estimators) in a parametric model that are based …
Persistent link: https://www.econbiz.de/10015224761
The challenge of the econometric problem in production efficiency analysis is that the very efficiency scores to be analyzed are unobserved. Recently, statistical properties have been discovered for a class of estimators popular in the literature, known as data envelopment analysis (DEA)...
Persistent link: https://www.econbiz.de/10015225162
In order to study the structure of society, sociologists usually distinguish several homogeneous social groups, or classes. The most common division consists of three groups: upper, middle and lower classes. Such a partition is traditionally based on a subjective (exogenous) criteria adopted by...
Persistent link: https://www.econbiz.de/10015226042