Relevant bibliographies by topics / Financial econometric

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Financial econometric'

Author: Grafiati
Published: 22 February 2023
Last updated: 10 March 2023

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Journal articles on the topic "Financial econometric"

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Gruszczyński, Marek. "Accounting and Econometrics: From Paweł Ciompa to Contemporary Research." Journal of Risk and Financial Management 15, no. 11 (November 4, 2022): 510. http://dx.doi.org/10.3390/jrfm15110510.

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This paper examines the little-known connection between econometrics and accounting invoked by Paweł Ciompa, who first introduced the term econometrics in 1910. Since then, research in accounting and in statistical (econometric) analysis has developed in parallel. It is argued that contemporary accounting research is methodologically closer to econometrics than ever before. This paper concentrates on the accounting origins of econometrics and on the econometric methodologies currently in use in accounting research, beginning with Paweł Ciompa’s introduction of the term econometrics in accounting. The major contribution of this paper is a review of the occurrence of econometric methods in five leading journals in accounting research. The author identified 246 papers, and these were examined regarding the use of econometric methods. Two-thirds of the papers used methodologies that belong to econometrics—specifically, to financial microeconometrics. The most common methods were panel data models, qualitative variables models, and causality models.
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MİXON, Franklin, and Kamal UPADHYAYA. "Scholarly Impact of Core Econometrics Journals: A Catalog and Citations-Based Ranking." International Econometric Review 13, no. 4 (July 5, 2022): 118–31. http://dx.doi.org/10.33818/ier.984141.

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With 23 core econometrics journals now in operation, this study fills a gap in the literature by cataloguing the editorial specifications of each journal, and, more importantly, assessing their impact based on citations to research published in each over the 15-year period beginning in 2001 and ending in 2015. Our investigation reveals that about one-half of all core econometrics journals publish in an online format only, while the others publish both online and in-print. About one-fourth of all core econometrics journals are affiliated with an academic organization or society, while the same number are published by either Elsevier, Springer or Wiley. In terms of our assessment, Econometrica, Journal of Econometrics and Journal of Applied Econometrics sit atop our citations index ranking, while the relatively-new Journal of Financial Econometrics breaks into the top five, and other younger journals, such as the Journal of Econometric Methods and Econometrics, also make a strong showing in what is the first academic study assessing their productivity.
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Lupekesa, Chipasha Salome Bwalya, Johannes Tshepiso Tsoku, and Lebotsa Daniel Metsileng. "Econometric Modelling of Financial Time Series." International Journal of Management, Entrepreneurship, Social Science and Humanities 5, no. 2 (December 30, 2022): 52–70. http://dx.doi.org/10.31098/ijmesh.v5i2.622.

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This paper examines the relationship between assets, capital, liabilities and liquidity in South Africa using the Johansen cointegration analysis and the GARCH model using times data for the period 02/2005 to 06/2018. The results obtained from the study suggests that the time series are integrated of order one, I(1). The findings from the Johansen cointegration test indicated that the variables have a long run cointegrating relationship. Furthermore, the results from the GARCH model revealed that the estimated model has statistically significant coefficients at 5% significance level. Additionally, results revealed that assets have a positive relationship with capital, liabilities and liquidity. This implies that a percentage increase in assets will result to a percentage increase in capital, liabilities and liquidity. The results also revealed that shocks decay quickly in the future and that the conditional variance is explosive. The diagnostic tests revealed that the estimated models show the characteristics of a well specified model. The recommendations for future studies were formulated. Keywords: ARCH model; Cointegration; Financial time series; GARCH model; VECM; Volatility
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Raji, Rahman Olanrewaju. "The Financial Stability in Developing Economy: Role of Financial Inclusion and Financial Efficiency." Quantitative Economics and Management Studies 2, no. 1 (January 11, 2021): 72–84. http://dx.doi.org/10.35877/454ri.qems269.

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This paper explores the asymmetric nexus between financial inclusion, financial efficiency and financial stability, within asymmetric and symmetric Autoregressive Distributed Lag (NARDL) framework, covering the period from 2003 to 2018, using quarterly data in Nigeria. The findings showed that symmetric technique of econometric test detects, that financial stability is augmented by better improvement in financial inclusion in short-run, while asymmetric technique observed that short-run positive effect, and negative effect likewise long-run decrease in this index heightened the level of financial stability in this economy. This study further found trade-off existence, between financial efficiency and financial stability in both symmetric and asymmetric techniques of econometric tests, which is consistent with some empirical findings. The results based on the model and empirical data indicate that, the monetary authority needs to follow prudent and adequate supervisory standard in pursuing financial inclusion, financial intermediaries should be accompanied with good institutional quality, including financial awareness that should be enhanced through financial teachings in all sectors both in the urban and rural areas of the economy.
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Городников, Кирилл, Михаил Павлов, and Александр Сус. "Influence of Mezzanine Financing on the Corporate Financial Profile." Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438 16, no. 2 (October 18, 2022): 70–95. http://dx.doi.org/10.17323/j.jcfr.2073-0438.16.2.2022.70-95.

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Due to global changes in the global economy, the importance of financing and building an optimal capital structure is increasing. Rapid changes in the exogenous environment and the investment climate lead companies to revise their financing strategies. Currently, there are many financial instruments that provide cash inflow, but have certain restrictions. The tool that allows to eliminate them is the mezzanine. However, the existing literature on mezzanine financing does not fully cover this financing method. The novelty of this research lies in determining the financial profile of the borrower company that utilizes mezzanine financing, and in studying the impact of the mezzanine on the market value of a company’s equity and its value. Econometric analysis confirms that mezzanine financing is more often chosen by companies with a less attractive financial profile, based on ROA, EBITDA – CapEx cash flow, and beta. In addition, the interconnection between a company’s life cycle and its desire to attract a mezzanine loan is revealed. Econometric and empirical analysis allow us to conclude that the market situation, managerial methods within the company and the operational strategy increase the chances of the effective use of the mezzanine.
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Lee, Bong-Soo, and Terence C. Mills. "The Econometric Modelling of Financial Time Series." Journal of Finance 50, no. 1 (March 1995): 387. http://dx.doi.org/10.2307/2329254.

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Walden, Andrew, and T. C. Mills. "The Econometric Modelling of Financial Time Series." Journal of the Royal Statistical Society. Series A (Statistics in Society) 157, no. 3 (1994): 508. http://dx.doi.org/10.2307/2983542.

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Hylleberg, Svend, and Terence C. Mills. "The Econometric Modelling of Financial Time Series." Economic Journal 105, no. 431 (July 1995): 1038. http://dx.doi.org/10.2307/2235181.

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Pedroni, Peter. "The Econometric Modelling of Financial Time Series." Journal of the American Statistical Association 96, no. 453 (March 2001): 339–55. http://dx.doi.org/10.1198/jasa.2001.s376.

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Franses, P. H. B. F. "The Econometric Modelling of Financial Time Series." International Journal of Forecasting 16, no. 3 (July 2000): 426–27. http://dx.doi.org/10.1016/s0169-2070(00)00046-7.

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Dissertations / Theses on the topic "Financial econometric"

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Dumitrescu, Elena. "Econometric Methods for Financial Crises." Thesis, Orléans, 2012. http://www.theses.fr/2012ORLE0502/document.

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Connus sous le nom de Systèmes d’Alerte Avancés, ou Early Warning Systems (EWS), les modèles de prévision des crises financières sont appelés à jouer un rôle déterminant dans l’orientation des politiques économiques tant au niveau microéconomique qu’au niveau macroéconomique et international. Or,dans le sillage de la crise financière mondiale, des questions majeures se posent sur leur réelle capacité prédictive. Deux principales problématiques émergent dans le cadre de cette littérature : comment évaluer les capacités prédictives des EWS et comment les améliorer ?Cette thèse d’économétrie appliquée vise à proposer (i) une méthode d’évaluation systématique des capacités prédictives des EWS et (ii) de nouvelles spécifications d’EWS visant à améliorer leurs performances. Ce travail comporte quatre chapitres. Le premier propose un test original d’évaluation des prévisions par intervalles de confiance fondé sur l’hypothèse de distribution binomiale du processus de violations. Le deuxième chapitre propose une stratégie d’évaluation économétrique des capacités prédictives des EWS. Nous montrons que cette évaluation doit être fondée sur la détermination d’un seuil optimal sur les probabilités prévues d’apparition des crises ainsi que sur la comparaison des modèles.Le troisième chapitre révèle que la dynamique des crises (la persistance) est un élément essentiel de la spécification économétrique des EWS. Les résultats montrent en particulier que les modèles de type logit dynamiques présentent de bien meilleurs capacités prédictives que les modèles statiques et que les modèles de type Markoviens. Enfin, dans le quatrième chapitre nous proposons un modèle original de type probit dynamique multivarié qui permet d’analyser les schémas de causalité intervenant entre différents types crises (bancaires, de change et de dette). L’illustration empirique montre clairement que le passage à une modélisation trivariée améliore sensiblement les prévisions pour les pays qui connaissent les trois types de crises
Known as Early Warning Systems (EWS), financial crises forecasting models play a key role in definingeconomic policies at microeconomic, macroeconomic and international level. However, in the wake ofthe global financial crisis, numerous questions with respect to their forecasting abilities have been raised,as very few signals were drawn prior to the starting of the turmoil. Two questions arise in this context:how to evaluate EWS forecasting abilities and how to improve them?The broad goal of this applied econometrics dissertation is hence (i) to propose a systematic model-free evaluation methodology for the forecasting abilities of EWS as well as (ii) to introduce new EWSspecifications with improved out-of-sample performance. This work has been concretized in four chapters.The first chapter introduces a new approach to evaluate interval forecasts which relies on the binomialdistributional assumption of the violations series. The second chapter proposes an econometric evaluationmethodology of the forecasting abilities of an EWS. We show that adequate evaluation must take intoaccount the cut-off both in the optimal crisis forecast step and in the model comparison step. The thirdchapter points out that crisis dynamics (persistence) is essential for the econometric specification of anEWS. Indeed, dynamic logit models lead to better out-of-sample forecasting probabilities than those oftheir main competitors (static model and Markov-switching one). Finally, a multivariate dynamic probitEWS is proposed in the fourth chapter to take into account the causality between different types of crises(banking, currency, sovereign debt). The empirical application shows that the trivariate model improvesforecasts for countries that underwent the three types of crises
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Massacci, Daniele. "Econometric analysis of financial contagion." Thesis, University of Cambridge, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.611946.

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Volgina, Vera. "Postmerger financial performance: econometric analysis." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-16850.

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There are numerous researches done in the last couple decades dedicated to the observation of impact of merges and acquisitions on the performance of the company. The topic is considered to be up-to-date, as still there is no common approach to evaluating of benefits mergers are about to bring to a new established entity. In this thesis the issue of post-merger financial performance is investigated on an example of three biggest energy companies in Europe: RWE, E.ON and Vattenfall. The aim of the thesis is to find out whether financial performance of chosen companies improves after the merger occurs. This target is elaborated with a help of the analysis of commonly used financial ratios in corporate finance and construction of two regression models, which explain the interrelations between basic indicator of the company's growth (net income), the fact of the merger and determined financial ratios. As an outcome of the research, a few findings were obtained, such as worsening of financial performance three to five years after the merger, with continuing improvement in further years, quite stable financial indicators before the merger, positive interconnection between the fact of the merger and the net income. Such outcomes might be considered as significant, though further research and elaboration of the topic can be performed in the future.
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Castelli, Francesca <1982&gt. "Econometric models of financial risks." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2012. http://amsdottorato.unibo.it/4274/1/Castelli_Francesca_tesi.pdf.

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The goal of this dissertation is to use statistical tools to analyze specific financial risks that have played dominant roles in the US financial crisis of 2008-2009. The first risk relates to the level of aggregate stress in the financial markets. I estimate the impact of financial stress on economic activity and monetary policy using structural VAR analysis. The second set of risks concerns the US housing market. There are in fact two prominent risks associated with a US mortgage, as borrowers can both prepay or default on a mortgage. I test the existence of unobservable heterogeneity in the borrower's decision to default or prepay on his mortgage by estimating a multinomial logit model with borrower-specific random coefficients.
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Castelli, Francesca <1982&gt. "Econometric models of financial risks." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2012. http://amsdottorato.unibo.it/4274/.

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The goal of this dissertation is to use statistical tools to analyze specific financial risks that have played dominant roles in the US financial crisis of 2008-2009. The first risk relates to the level of aggregate stress in the financial markets. I estimate the impact of financial stress on economic activity and monetary policy using structural VAR analysis. The second set of risks concerns the US housing market. There are in fact two prominent risks associated with a US mortgage, as borrowers can both prepay or default on a mortgage. I test the existence of unobservable heterogeneity in the borrower's decision to default or prepay on his mortgage by estimating a multinomial logit model with borrower-specific random coefficients.
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Yoldas, Emre. "Essays on multivariate modeling in financial econometrics." Diss., [Riverside, Calif.] : University of California, Riverside, 2008. http://proquest.umi.com/pqdweb?index=0&did=1663051691&SrchMode=2&sid=2&Fmt=6&VInst=PROD&VType=PQD&RQT=309&VName=PQD&TS=1265225972&clientId=48051.

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Thesis (Ph. D.)--University of California, Riverside, 2008. Thesis (Ph. D.)--University of California, Riverside, 2009.
Includes abstract. Title from first page of PDF file (viewed February 3, 2009). Available via ProQuest Digital Dissertations. Includes bibliographical references (p. 135-137). Includes bibliographical references (leaves ). Also issued in print.
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Wongwachara, Warapong. "Essays on econometric errors in quantitative financial economics." Thesis, University of Cambridge, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.609240.

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Paudel, Ramesh Chandra. "Financial liberalisation in Sri Lanka an econometric analysis /." Access electronically, 2007. http://www.library.uow.edu.au/adt-NWU/public/adt-NWU20080124.115257/index.html.

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Chen, Shi. "Econometric Measures of Financial Risk in High Dimensions." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/18672.

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Das moderne Finanzsystem ist komplex, dynamisch, hochdimensional und oftmals nicht stationär. All diese Faktoren stellen große Herausforderungen beim Messen des zugrundeliegenden Finanzrisikos dar, das speziell für Marktteilnehmer von oberster Priorität ist. Hochdimensionalität, die aus der ansteigenden Vielfalt an Finanzprodukten entsteht, ist ein wichtiges Thema für Ökonometriker. Ein Standardansatz, um mit hoher Dimensionalität umzugehen, ist es, Schlüsselvariablen auszuwählen und kleine Koeffizientenen auf null zu setzen, wie etwa Lasso. In der Finanzmarktanalyse kann eine solche geringe Annahme helfen, die führenden Risikofaktoren aus dem extrem großen Portfolio, das letztendlich das robuste Maß für finanzielles Risiko darstellt, hervorzuheben. In dieser Arbeit nutzen wir penalisierte Verfahren, um die ökonometrischen Maße für das finanzielle Risiko in hoher Dimension zu schätzen, sowohl mit nieder-, als auch hochfrequenten Daten. Mit Fokus auf dem Finanzmarkt, können wir das Risikonetzwerk des ganzen Systems konstruieren, das die Identifizierung individualspezifischen Risikos erlaubt.
Modern financial system is complex, dynamic, high-dimensional and often possibly non-stationary. All these factors pose great challenges in measuring the underlying financial risk, which is of top priority especially for market participants. High-dimensionality, which arises from the increasing variety of the financial products, is an important issue among econometricians. A standard approach dealing with high dimensionality is to select key variables and set small coefficient to zero, such as lasso. In financial market analysis, such sparsity assumption can help highlight the leading risk factors from the extremely large portfolio, which constitutes the robust measure for financial risk in the end. In this paper we use penalized techniques to estimate the econometric measures of financial risk in high dimensional, with both low-frequency and high-frequency data. With focus on financial market, we could construct the risk network of the whole system which allows for identification of individual-specific risk.
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Gatkowski, Mateusz. "Financial network stability and structure : econometric and network analysis." Thesis, University of Essex, 2015. http://repository.essex.ac.uk/17090/.

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Since the Global Financial Crisis, the literature of financial networks analysis has been trying to investigate the changes in the financial networks structure, that led to the instability of the financial system. The Global Financial Crisis followed by the Great Recession costed taxpayers an unprecedented $14 trillion (Alessandri and Haldane, 2009), austerity and downturns in GDP. The dynamics of the financial networks transferred the collapse of a US housing market bubble into a large meltdown of the financial systems globally. The study of systemic risk and macro-prudential policy has come to the forefront to model and manage the negative externalities of monetary, fiscal and financial sector activities that can lead to system wide instabilities and failure. The dimensions of crisis propagation have been modelled as those that can spread cross-sectionally in domino like failures with global scope, or build up over time, as in asset bubbles. The cross sectional propagation of shocks that occur due to non-payment of debt or other financial obligations with the failure of a financial intermediary or a sovereign leading to the failure of other economic entities, is called financial contagion. Cross sectional analysis of financial contagion can be done using statistical methods or by network analysis. The latter gives a structural model of the interconnections in terms of financial obligations. This dissertation uses both approaches to model financial contagion. The applications include the study of systemic risk in Eurozone Sovereign crisis, the US CDS market and the global banking network. This is organized in three self-contained chapters Our contribution to the literature begins with the study of the dynamics of the market of the Credit Default Swap (CDS) contracts for selected Eurozone sovereigns and the UK. The EWMA correlation analysis and the Granger-causality test demonstrate that there was contagion effect since correlations and cross-county interdependencies increased after August 2007. Furthermore, the IRF analysis shows that among PIIGS, the CDS spreads of Spain and Ireland have the biggest impact on the European CDS spreads, whereas the UK is found not be a source of sovereign contagion to the Eurozone. Next we perform the empirical reconstruction of the US CDS network based on the real-world data obtained from the FDIC Call Reports, and study the propagation of contagion, assuming different network structures. The financial network shows a highly tiered core-periphery structure. We find that network topology matters for the stability of the financial system. The “too interconnected to fail” phenomenon is discussed and shown to be the result of highly tiered network with central core of so called super-spreaders. In this type of network the contagion is found to be short, without multiple waves, but with very high losses brought by the core of the network. Finally we study a global banking network (GBN) model based on the Markose (2012) eigen-pair approach and propose a systemic risk indices (SRI) which provide early warning signals for systemic instability and also the rank order of the systemic importance and vulnerability of the banking systems. The empirical model is based on BIS Consolidated Banking Statistics for the exposures of 19 national banking systems to the same number of debtor countries and the data obtained from Bankscope for the equity capital of these 19 national banking systems. The SRI is based on the ratio of the netted cross-border exposures of the national banking systems to their respective equity capital. The eigen-pair method stipulates that if the maximum eigenvalue of the network exceeds the capital threshold, there is cause for concern of a contagion. This is compared with the loss multiplier SRI proposed by Castrén and Rancan (2012). The latter is found to have no early warning capabilities and peaks well after the onset of the crisis in 2009 while the eigen-pair SRI gives ample warning by late 2006 that the cross border liabilities was unsustainable in respect of the equity capital of the national banking systems. We contribute to the literature by highlighting the efficacy of the network approach to systemic stability analysis of GBNs. In particular we develop an eigen-pair approach for GBNs and prove its usefulness in an early warning context.
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Books on the topic "Financial econometric"

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Hansen, Lars Peter, and Yacine Aït-Sahalia. Handbook of financial econometrics. Boston: North-Holland, an imprint of Elsevier, 2009.

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Wang, Peijie. Financial econometrics. New York, NY: Routledge, 2008.

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Kontoghiorghes, Erricos John, and Cristian Gatu, eds. Optimisation, Econometric and Financial Analysis. Berlin, Heidelberg: Springer Berlin Heidelberg, 2007. http://dx.doi.org/10.1007/3-540-36626-1.

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Kaehler, Jürgen, and Peter Kugler, eds. Econometric Analysis of Financial Markets. Heidelberg: Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-48666-1.

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Aït-Sahalia, Yacine. Handbook of financial econometrics tools and techniques. Amsterdam: North-Holland/Elsevier, 2010.

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Lim, Kian Guan. Financial valuation and econometrics. Singapore: World Scientific Pub., 2011.

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Mills, T. C. Econometric modelling of financial time series. Cambridge: Cambridge University Press, 1995.

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Y, Campbell John, and Melino Angelo, eds. Econometric methods and financial time series. Amsterdam: North-Holland, in cooperatyionwith the National Bureau of Economic Research, 1990.

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Financial valuation and econometrics. Singapore: World Scientific Pub., 2011.

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Hautsch, Nikolaus. Econometrics of financial high-frequency data. Berlin: Springer, 2012.

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Book chapters on the topic "Financial econometric"

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Lee, Jieun. "Econometric Measures of Liquidity." In Handbook of Financial Econometrics and Statistics, 1311–23. New York, NY: Springer New York, 2014. http://dx.doi.org/10.1007/978-1-4614-7750-1_99.

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Briggs, William M. "Testing, Prediction, and Cause in Econometric Models." In Econometrics for Financial Applications, 3–19. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-73150-6_1.

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Arbuzov, Viacheslav, and Maria Frolova. "Market Liquidity Measurement and Econometric Modeling." In Market Risk and Financial Markets Modeling, 25–36. Berlin, Heidelberg: Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-27931-7_5.

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Wang, Yu-Jen, Huimin Chung, and Bruce Mizrach. "Econometric Analysis of Currency Carry Trade." In Handbook of Financial Econometrics and Statistics, 1877–90. New York, NY: Springer New York, 2014. http://dx.doi.org/10.1007/978-1-4614-7750-1_69.

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Krämer, Walter, and Ralf Runde. "Some Pitfalls in Using Empirical Autocorrelations to Test for Zero Correlation among Common Stock Returns." In Econometric Analysis of Financial Markets, 1–9. Heidelberg: Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-48666-1_1.

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Egginton, Don M., and Stephen G. Hall. "An Investigation of the Effect of Funding on the Slope of the Yield Curve." In Econometric Analysis of Financial Markets, 139–61. Heidelberg: Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-48666-1_10.

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Koedijk, By Kees G., Philip A. Stork, and Casper G. de Vries. "Stylized Facts, Realignments and Investment Strategies in the EMS." In Econometric Analysis of Financial Markets, 163–84. Heidelberg: Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-48666-1_11.

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Demos, Antonis, Enrique Sentana, and Mushtaq Shah. "Risk and Return in January: Some UK Evidence." In Econometric Analysis of Financial Markets, 185–202. Heidelberg: Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-48666-1_12.

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Kaehler, Juergen, and Volker Marnet. "Markov-Switching Models for Exchange-Rate Dynamics and the Pricing of Foreign-Currency Options." In Econometric Analysis of Financial Markets, 203–30. Heidelberg: Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-48666-1_13.

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Drost, Feike C. "Temporal Aggregation of Time-Series." In Econometric Analysis of Financial Markets, 11–21. Heidelberg: Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-48666-1_2.

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Conference papers on the topic "Financial econometric"

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Hou, Zehan. "The Econometric Analysis of Financial Instability." In 2016 International Conference on Management Science and Innovative Education. Paris, France: Atlantis Press, 2016. http://dx.doi.org/10.2991/msie-16.2016.51.

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Yi-ting, Fu, and Wang Xiong-wei. "Econometric analysis of the relationships among the financial markets." In 2011 International Conference on Management Science and Engineering (ICMSE). IEEE, 2011. http://dx.doi.org/10.1109/icmse.2011.6070075.

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Kovalchuk, Olha, Mykola Shynkaryk, and Mariia Masonkova. "Econometric Models for Estimating the Financial Effect of Cybercrimes." In 2021 11th International Conference on Advanced Computer Information Technologies (ACIT). IEEE, 2021. http://dx.doi.org/10.1109/acit52158.2021.9548490.

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Rubilar Torrealba, Rolando, Karime Chahuán Jiménez, and Hanns De La Fuente-Mella. "Econometric Modeling for the Management and Decomposition of Financial Risk." In 13th International Conference on Applied Human Factors and Ergonomics (AHFE 2022). AHFE International, 2022. http://dx.doi.org/10.54941/ahfe1001444.

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This research presents a methodological analysis that will allow to actively manage the risk of financial assets, through an understandable study and mix of technical differences used by the financial literature. In this way, the research will allow the delivery of precise information on the risk-generating components of the assets studied. The methodology used corresponds to the wavelet decomposition method, combined with the VaR methodology, which as a whole proves to be an efficient way of controlling the financial risk of the investment portfolios used, thus allowing to identify the main risk generating components to which it is applied. investors and fund managers submit.
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Sukhanova, E. I. "Modeling And Forecasting Financial Performance Of A Business: Statistical And Econometric Approach." In GCPMED 2018 - International Scientific Conference "Global Challenges and Prospects of the Modern Economic Development. Cognitive-Crcs, 2019. http://dx.doi.org/10.15405/epsbs.2019.03.48.

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Yang, Yuer, Ruotong Du, Haodong Tang, and Yanxin Zheng. "SSLPNet: A financial econometric prediction model for small-sample long panel data." In ICIT 2021: IoT and Smart City. New York, NY, USA: ACM, 2021. http://dx.doi.org/10.1145/3512576.3512607.

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ZHERLITSYN, Dmytro, Liudmyla GALAIEVA, and Volodymyr MANDRA. "COMPANY FINANCIAL FLOW MODELLING BY SYSTEM DYNAMICS METHODOLOGY." In International Scientific Conference „Contemporary Issues in Business, Management and Economics Engineering". Vilnius Gediminas Technical University, 2021. http://dx.doi.org/10.3846/cibmee.2021.630.

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Purpose – the purpose of the article is to develop a conceptual model of the company’s financial logistics based on the system dynamics principles. Research methodology – the article is based on the system analysis and system dynamics methods to define, classify and simulate a company financial flow. Findings – the definition of financial logistics for a business system has been defined. The authors make a classification of the company’s financial flow by the main economic activities and time series factors. Research limitations – commercial data, used for the practical implementation of the model, are confidential and cannot be disclosed. Practical implications – the model is implemented by transformation of a system dynamic flow graph into VENSIM programs. It may estimate the stationary trajectory financial flow and short-term and long-term gaps. Originality/Value – the conceptual model of the company’s financial logistics is determined based on the system dynam-ics principles. The model includes the advantages of the financial management methods and contemporary econometric analysis instruments based on a system dynamics.
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Du, Yuheng. "The Impact of Economic and Financial Agglomeration on China’s Energy from Spatial Econometric Analysis." In 2022 International Conference on Urban Planning and Regional Economy（UPRE 2022）. Paris, France: Atlantis Press, 2022. http://dx.doi.org/10.2991/aebmr.k.220502.060.

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Freimanis, Kristaps, and Maija Šenfelde. "Approach of scaling the level of government intervention in the financial market." In 11th International Scientific Conference „Business and Management 2020“. VGTU Technika, 2020. http://dx.doi.org/10.3846/bm.2020.591.

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In the field of the economics’ regulation researchers so far have built the conceptual framework showing how the deadweight loss of market failures decrease and costs of the government intervention in-crease with the increased level of the government intervention. In order to quantify relationships between the level of intervention, intervention costs and the deadweight loss with econometric models it is im-portant to understand how to apply coordinates for the data points to be included in the modelling. The main goal of the research presented in this paper is to find the unit measure for the asis of the independentvariable, i.e. to shape the categorical scale corresponding to the level of intervention.
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Chang, Chia-Lin, Michael McAleer, and Chien-Hsun Wang. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors." In 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017). Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/icefs-17.2017.10.

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Reports on the topic "Financial econometric"

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Gilchrist, Simon, and Jae Sim. Investment during the Korean Financial Crisis: A Structural Econometric Analysis. Cambridge, MA: National Bureau of Economic Research, August 2007. http://dx.doi.org/10.3386/w13315.

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Linsenmeier, David, Harvey Rosen, and Cecilia Elena Rouse. Financial Aid Packages and College Enrollment Decisions: An Econometric Case Study. Cambridge, MA: National Bureau of Economic Research, September 2002. http://dx.doi.org/10.3386/w9228.

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Artana, Daniel, Cynthia Moskovits, Jorge Puig, and Ivana Templado. Fiscal Rules and the Behavior of Public Investment in Latin America and the Caribbean: Towards Growth-Friendly Fiscal Policy?: The case of Argentina. Inter-American Development Bank, February 2021. http://dx.doi.org/10.18235/0003057.

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This paper analyzes the implementation of Fiscal Rules (FR) in Argentina. Several clear attempts to establish a FR at the national level are identified. The analysis suggests that the environment matters. The only FR that was binding in the period was approved in 2004 during an economic boom, with the country under a program with the IMF and with high political support. During the world financial crisis the expenditure ceilings were relaxed, however, and current primary expenditures soared. Simulations show that a countercyclical fund could have been implemented even after reducing highly distorting taxes at the federal and provincial levels, and at the same time securing a high level of capital expenditure as a share of GDP, had Argentina complied with the 2004 FR. Moreover, an econometric exploration of the link between flexible FRs and public investment finds that a flexible FR helps to mitigate the negative effects of fiscal consolidations on provincial public investment. Based on the previous analysis, guidelines for a proposal for a FR in Argentina are provided.
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Correia, Diogo, and Ricardo Barradas. Financialisation and the slowdown of labour productivity in Portugal: A post-Keynesian approach. DINÂMIA'CET-Iscte, 2021. http://dx.doi.org/10.15847/dinamiacet-iul.wp.2021.07.

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The aim of this paper is to conduct a time series econometric analysis in order to empirically evaluate the role of financialisation in the slowdown of labour productivity in Portugal during the period from 1980 to 2017. During that time, the Portuguese economy faced a financialisation phenomenon due to the European integration process and the corresponding imposition of a strong wave of privatisation, liberalisation and deregulation of the Portuguese financial system. At the same time, Portuguese labour productivity exhibited a sustained downward trend, which seems to contradict the well-entrenched mainstream hypothesis on the finance–productivity nexus. Based on the post-Keynesian literature, we identify four channels through which the phenomenon of financialisation has impaired labour productivity, namely weak economic performance, the fall in labour’s share of income, the rise of inequality in personal income and an intensification of the degree of financialisation. The paper finds that lagged labour productivity, economic performance and labour income share positively impact labour productivity in Portugal, while personal income inequality and the degree of financialisation negatively impact labour productivity in Portugal. The paper also finds that the main triggers for the slowdown of labour productivity in Portugal are the degree of financialisation and personal income inequality over the last decades.
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Barradas, Ricardo. Why has labour productivity slowed down in the era of financialisation? Insights from the post-Keynesians for the European Union countries. DINÂMIA'CET-Iscte, May 2022. http://dx.doi.org/10.15847/dinamiacet-iul.wp.2022.03.

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This paper employs a panel data econometric approach in order to empirically ascertain the role of the phenomenon of financialisation in the deceleration of labour productivity in the European Union (EU) countries from 1980 to 2019. During that time, the EU countries suffered a huge structural transformation based on Reaganomics and Thatcherism and their financial systems have experienced strong liberalisation and deregulation, which have contributed to poor evolution of labour productivity and have revived fears around a new ‘secular stagnation’ in the era of financialisation. Grounded in post-Keynesian literature, the slowdown of labour productivity in the majority of developed economies in the last decades cannot be separated from the phenomenon of financialisation, which has occurred through four different channels, namely the weak economic performance, the decline in the labour income share, the increase in personal income inequality, and strengthening of the degree of financialisation. Our findings confirm that lagged labour productivity, economic performance, and labour income share have a positive impact on labour productivity in the EU countries, while personal income inequality and the degree of financialisation impact it negatively. Our findings also reveal that labour productivity in the EU countries in the last decades would have grown more if there had been a stronger economic performance, a smaller decline (or even a rise) of the labour income share, a smaller increase (or even a decrease) of personal income inequality, and a weakening of the degree of financialisation.
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