Showing 1 - 10 of 34
The purpose of this paper is to provide an in-depth analysis, using both financial ratio analysis and data envelopment analysis (DEA), of a consistent sample of Islamic and conventional banks located in the GCC region over the period 2004 to 2007. Results from the financial ratio analysis...
Persistent link: https://www.econbiz.de/10009433355
Several recent studies advocate the use of nonparametric estimators of daily price vari- ability 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/10009478125
Several recent studies advocate the use of nonparametric estimators of daily price vari-ability that exploit intraday information. This paper compares four such estimators, realisedvolatility, realised range, realised power variation and realised bipower variation, by examiningtheir in-sample...
Persistent link: https://www.econbiz.de/10009433359
Several recent studies advocate the use of nonparametric estimators of daily price vari- ability 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/10010534833
We investigate the procedure used by Ané and Geman (2000) to recover the moments of the information flow from high frequency data, in a model which generalizes the subordinated process in Clark (1973). We explain why the third and higher moments of the latent information flow cannot be...
Persistent link: https://www.econbiz.de/10010534850
Several recent studies advocate the use of nonparametric estimators of daily price vari- ability 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/10010540227
We investigate the bootstrapped size and power properties of five long memory tests, including the modified R/S, KPSS and GPH tests. In small samples, the moving block bootstrap controls the empirical size of the tests. However, for these sample sizes, the power of bootstrapped tests against...
Persistent link: https://www.econbiz.de/10010540229
We investigate the procedure used by Ané and Geman (2000) to recover the moments of the information flow from high frequency data, in a model which generalizes the subordinated process in Clark (1973). We explain why the third and higher moments of the latent information flow cannot be...
Persistent link: https://www.econbiz.de/10010540240
We investigate the bootstrapped size and power properties of five long memory tests, including the modified R/S, KPSS and GPH tests. In small samples, the moving block bootstrap controls the empirical size of the tests. However, for these sample sizes, the power of bootstrapped tests against...
Persistent link: https://www.econbiz.de/10010541221
Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used,...
Persistent link: https://www.econbiz.de/10010541245