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This paper examines the fractional cointegration between downside (upside) components of realized and implied variances. A positive association is found between the strength of their cofractional relation and the return predictability of their differences. That association is established via the common long-memory component of the variances that are fractionally cointegrated, which represents the volatility-of-volatility factor that determines the variance premium. Our results indicate that market fears play a critical role not only in driving the long-run equilibrium relationship between implied-realized variances but also in understanding the return predictability. A simulation study further verifies these claims. 相似文献
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Smallholder participation in vegetable exports and age‐disaggregated labor allocation in Northern Tanzania 下载免费PDF全文
Modern agricultural supply chains have been playing an increasingly important role in developing countries and have had significant effects on rural labor markets. This article analyses the effects of smallholder farmer participation in export vegetable supply chains in Northern Tanzania on both household hired labor demand and off‐farm labor supply, using an age‐disaggregated approach. In our sample, neither separability nor exogeneity of smallholder farmer participation in export supply chains can be rejected. Hence, we apply lognormal double‐hurdle models and find that participation in export supply chains positively affects households’ decision to hire labor from all age groups. We also find that it increases the unconditional overall level of hired labor demand, while the age‐disaggregated analysis shows that these effects mostly benefit rural youth. However, our sample does not allow us to establish statistically significant evidence of an effect on household off‐farm labor supply although the point estimates point to nonnegligible positive effect sizes. 相似文献
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Vasileios Pappas Steven Ongena Marwan Izzeldin Ana-Maria Fuertes 《Journal of Financial Services Research》2017,51(2):221-256
Are Islamic banks inherently more stable than conventional banks? We address this question by applying a survival analysis based on the Cox proportional hazard model to a comprehensive sample of 421 banks in 20 Middle and Far Eastern countries from 1995 to 2010. By comparing the failure risk for both bank types, we find that Islamic banks have a significantly lower risk of failure than that of their conventional peers. This lower risk is based both unconditionally and conditionally on bank-specific (microeconomic) variables as well as macroeconomic and market structure variables. Our findings indicate that the design and implementation of early warning systems for bank failure should recognize the distinct risk profiles of the two bank types. 相似文献
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Recent literature provides mixed empirical evidence with respect to the forecasting performance of ARFIMA and HAR models. This paper compares the forecasting performance of both models using high frequency data of 100 stocks representing 10 business sectors for the period 2000-2010. We allow for different sectors, changing market conditions, variation in the sampling frequency and forecasting horizons. For the overall sample and using the 300 sec sampling frequency, the forecasting performance of both models is indistinguishable. However, differences arise under different market regimes, forecasting horizons and sampling frequencies. ARFIMA models are superior for the crisis and pre-crisis sub-samples. HAR forecasts are less sensitive to regime change and to longer forecasting horizons. Variations in forecasting performance could also be explained using differences in the levels of persistence underlying each model. 相似文献
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Pierre Al Khoury Marwan Al Kotob Batoul Al Mohammad Dima Shamsedeen Hanan El Khodr Hibatullah E Bsat Rania El Khatib Yasmina Chaar 《现代会计与审计》2014,(2):155-163
The issue of accountants' role in decision-making has been the center of attention of lots of studies in the last decade but never did it get the adequate coverage in Lebanon. This paper studies to what extent accountants are involved in the managerial decision-making in Lebanon. Two hundred experienced accountants from all over the country were randomly selected for a questionnaire survey. This survey provides evidence as to what factors contribute to the variance of influence accountants have in managerial decision-making. The results from the questionnaires varied, but we conclude that accountants' involvement in new product development (NPD), the skills that accountants have, their role in the financial analysis of the firm, and how much the finn they work for encourages them to advice on business decisions affect the degree of contribution an accountant has to decision-making. The findings of this research could be used as a reference to help in understanding the role of accounting in Lebanon by various finns and organizations. 相似文献
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Spatial autoregressive models are powerful tools in the analysis of data sets from diverse scientific areas of research such as econometrics, plant species richness, cancer mortality rates, image processing, analysis of the functional Magnetic Resonance Imaging (fMRI) data, and many more. An important class in the host of spatial autoregressive models is the class of spatial error models in which spatially lagged error terms are assumed. In this paper, we propose efficient shrinkage and penalty estimators for the regression coefficients of the spatial error model. We carry out asymptotic as well as simulation analyses to illustrate the gain in efficiency achieved by these new estimators. Furthermore, we apply the new methodology to housing prices data and provide a bootstrap approach to compute prediction errors of the new estimators. 相似文献
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Hammami Samir Marwan Alhousary Tareq Muhammad Kahwaji Ahmad Taha Jamil Syed Ahsan 《Quality and Quantity》2022,56(4):2063-2089
Quality & Quantity - While the Omani government’s endeavours over two decades to support entrepreneurship, particularly among women, have been significant, research has not substantiated... 相似文献
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Marwan Aloqeili 《Economic Theory》2005,26(1):217-225
Summary. In this paper, we give the necessary and sufficient conditions that characterize the individual excess demand function when it depends smoothly on prices and endowments. A given function is an excess demand function if and only if it satisfies, in addition to Walras law and zero homogeneity in prices, a set of first order partial differential equations, its substitution matrix is symmetric and negative semidefinite. Moreover, we show that these conditions are equivalent to the symmetry and negative semidefiniteness of Slutsky matrix, Walras law and zero homogeneity of Marshallian demand functions.Received: 25 November 2002, Revised: 11 March 2004, JEL Classification Numbers:
D11.Marwan Aloqeili: I would like to thank an anonymous referee for helpful comments. 相似文献
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The effectiveness of threats in negotiations was examined by exploring two factors likely to affect it: implicitness, or the extent to which the threat mentions what action the perpetrator would take if the target does not comply; and timing, or the time when the threat is stated. Participants were given a negotiation scenario that differed only by the nature of the threat made by their counterpart. The design was a 2 (implicit vs. explicit threat) × 2 (early vs. late threat) factorial design with a control condition (no threat). The study showed that early-implicit and late-explicit threats were both more likely to elicit concessions than early-explicit and late-implicit threats. The two more effective threats were also the ones that made the perpetrator seem less aggressive. Further, perceived credibility mediated the positive effect that late-explicit threats had over late-implicit threats in eliciting concessions. These results support the claim that whether making the threats sanction implicit is effective depends on its timing, as the nature of bargaining moves and perceptions varies over time (Pruitt 1981). They suggest that the way in which a threat is stated may dramatically influence its effect on the target. 相似文献