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In this study, we test the semistrong form of the efficient market hypothesis in Turkey by using the recently developed techniques in time series econometrics, namely unit roots and cointegration. The long run relationship between stock prices and inflation is investigated by assuming the possible existence of a proxy effect. Conclusions are made as to the efficiency of the Turkish Stock Exchange and its possible implications for investors. To our knowledge, this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis of long run steady state properties together with short run dynamics.  相似文献
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The role of decision support systems in mitigating operational risks in firms is well established. However, there is a lack of investment in decision support systems in emerging markets, even though inadequate operational risk management is a key cause of discouraging external investment. This has also been exacerbated by insufficient understanding of operational risk in emerging markets, which can be attributed to past operational risk measurement techniques, limited studies on emerging markets and inadequate data.  相似文献
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In this paper, we apply newly developed methods called GAM & CQP and CMARS for country defaults. These are techniques refined by us using Conic Quadratic Programming. Moreover, we compare these new methods with common and regularly used classification tools, applied on 33 emerging markets’ data in the period of 1980-2005. We conclude that GAM & CQP and CMARS provide an efficient alternative in predictions. The aim of this study is to develop a model for predicting the countries’ default possibilities with the help of modern techniques of continuous optimization, especially conic quadratic programming. We want to show that the continuous optimization techniques used in data mining are also very successful in financial theory and application. By this paper we contribute to further benefits from model-based methods of applied mathematics in the financial sector. Herewith, we aim to help build up our nations.  相似文献
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This paper investigates cost, technical and allocative efficiencies for Brazilian banks in the recent period (2000–2007). We use Data Envelopment Analysis (DEA) to compute efficiency scores. Brazilian banks were found to have low levels of economic (cost) efficiency compared to banks in Europe and in the US. For the period with high macroeconomic volatility (2000–2002) the economic inefficiency in Brazilian banks can be attributed mainly to technical inefficiency rather than allocative inefficiency. State-owned banks are significantly more cost efficient than foreign, private domestic and private with foreign participation. There is no evidence of differences in economic efficiency due to type of activity and bank size. These results may provide some useful guidance for financial regulators and bank managers.  相似文献
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This paper analyzes the efficiency of the Brazilian banking sector over the post-privatization period of 2000–2007. We employ a Bayesian stochastic frontier approach, which provides exact efficiency estimates and confidence intervals and thus, allows an accurate comparison across institutions and bank groups. The results suggest that large banks are the most cost and profit efficient, supporting the concentration process observed in recent years. Foreign banks have achieved a good performance through either the establishment of new affiliates and the acquisition of local banks. The remaining public banks have had improvements in cost efficiency, but are relatively profit inefficient. Finally, we observe a positive impact of capitalization on efficiency.  相似文献
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This study utilizes the variance ratio test to examine the behavior of Brazilian exchange rate. We show that adjustments for multiple tests and a bootstrap methodology must be employed in order to avoid size distortions. We propose a block bootstrap scheme and show that it has much nicer properties than the traditional Chow–Denning [Chow, K.V., Denning, K.C., 1993. A simple multiple variance ratio test. Journal of Econometrics 58 (3), 385–401] multiple variance ratio tests. Overall, the method proposed in the paper provides evidence refuting the random walk behavior for the Brazilian exchange rate for long investment horizon, but consistent with the random walk hypothesis for short-run horizon. Additionally, we also test for the predictive power of variable moving average (VMA) and trading range break (TRB) technical rules and find evidence of forecasting ability for these rules. Nonetheless, the excess return that can be obtained from such rules is not significant, suggesting that such predictability is not economically significant.  相似文献
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We present a systematic approach to the problem of evaluating currency risk. The approach involves a test for stationarity, and a method of estimating Value-at-Risk (VaR) and Expected Shortfall (ES) from dependent heavy-tailed data. Various estimation methods are compared and the accuracy of the approach is discussed. An application of the technique to the Mexican peso/US dollar exchange rate reveals the level of currency risk foreign investors face in Mexico.   相似文献
8.
** Email: maximiliano.gonzalez{at}iesa.edu.ve Dividends payment is an important signalling device used bycorporations. Through the dividend policy, firms can ‘separate’themselves and let the market, in an environment of asymmetricinformation, correctly assess their value. However, it is notclear that this mechanism is effective in markets subject toliquidity shocks. We addressed this problem by developing amodel where liquidity shocks occur with a certain probabilityand the stockholder must sell some illiquid assets at a discountin order to cover his cash needs. The results show that undercertain conditions and except for the very extreme cases, dividendsin fact can still be used as a signalling mechanism by companiesin illiquid markets.  相似文献
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