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The respective conclusions reached by Friedrich Hayek and John Maynard Keynes concerning the proper relationship between government and the economy are widely documented and discussed, but there is little recognition of a shared philosophy. An opportunity to redress this omission comes with the...
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Several recent studies advocate the use of nonparametric estimators of daily price variability that exploit intraday information. This paper compares four such estimators, realised volatility, realised range, realised power variation and realised bipower variation, by examining their in-sample...
Persistent link: https://www.econbiz.de/10005418325
We investigate, using a number of econometric tools, the impact of jumps on the stylised facts of returns and volatility. We look at 100 stocks, representing 10 sectors over the period 2000-2010. We find that jumps had little or no impact on the stylised facts of returns and volatility. The...
Persistent link: https://www.econbiz.de/10011165265
This paper considers 100 stocks from 10 sectors over the period 2000 to 2010 to examine the impact of market conditions, sector type and horizon on the forecasting performance of various volatility models. Out-of-sample forecasts are generated with standard daily GARCH and with ARFIMA/HAR models...
Persistent link: https://www.econbiz.de/10011165281
This paper examines the relationship between efficiency and default risk in Islamic banks (IBs) and Conventional banks (CBs) in Gulf Cooperation Countries (GCC) and three Non-GCC countries over the period 2002-2010. Efficiency and default risk are measured using Stochastic Frontier Approach...
Persistent link: https://www.econbiz.de/10011165311
We compare, using data envelopment analysis (DEA), the performance of Islamic and conventional banks prior to, during and immediately after the 2008 financial crisis (2004-2009). There is no significant difference in mean efficiency between conventional and Islamic banks when efficiency is...
Persistent link: https://www.econbiz.de/10011165331
This paper examines the relationship between efficiency and default risk in Islamic banks (IBs) and Conventional banks (CBs) in Gulf Cooperation Countries (GCC) and three Non-GCC countries over the period 2002-2010. Efficiency and default risk are measured using Stochastic Frontier Approach...
Persistent link: https://www.econbiz.de/10011165369
Using a new iterative algorithm that tests for possible breaks in the coefficients and residual variances of recursively identified structural equations, we examine changes in the parameters of the oil market model of Kilian (2009). Our analysis reveals breaks in the coefficients of the oil...
Persistent link: https://www.econbiz.de/10011167122