29 research outputs found
Multivariate Gram-Charlier Densities
This paper introduces a new family of multivariate distributions based on Gram-Charlier and Edgeworth expansions. This family encompasses many of the univariate seminonparametric densities proposed in the financial econometrics as marginal distributions of the different formulations. Within this family, we focus on the specifications that guarantee positivity so obtaining a well-defined multivariate density. We compare different "positive" multivariate distributions of the family with the multivariate Edgeworth-Sargan, Normal and Student’s t in an in- and out-sample framework for financial returns data. Our results show that the proposed specifications provide a quite reasonably good performance being so of interest for applications involving the modelling and forecasting of heavy-tailed distributions.Multivariate distributions; Gram-Charlier and Edgeworth-Sargan densities; MGARCH models; financial data
Legal and Cultural Factors as Catalysts for Promoting Women in the Boardroom
12 p.This study focuses on whether regulation as well as national cultures play significant
roles in defining women’s role in society. We are contributing to the existing debate by providing
the first empirical analysis to calibrate which legal mechanisms and cultural dimensions
are more efficient in achieving boardroom gender equality. We have highlighted the impact of
regulation by distinguishing between those countries that have passed positive laws imposing
gender quotas in the boardroom and those applying the ‘comply or explain’ recommendation
in their good governance codes. We have monitored enforcement levels among countries and
tested the validity of Hofstede’s cultural factors in impacting on gender quotas. The emerging
picture is that of gender diversity being triggered by the adoption of positive laws rather
than by soft recommendations. Moreover, gender diversity policies are more commonly promoted
in countries where governments, corporations and institutions are characterized by less
masculinity and lower power distance.S
Multivariate Gram-Charlier Densities
This paper introduces a new family of multivariate distributions based on Gram-Charlier and
Edgeworth expansions. This family encompasses many of the univariate seminonparametric
densities proposed in the financial econometrics as marginal distributions of the different
formulations. Within this family, we focus on the specifications that guarantee positivity so
obtaining a well-defined multivariate density. We compare different "positive" multivariate
distributions of the family with the multivariate Edgeworth-Sargan, Normal and Student’s t in
an in- and out-sample framework for financial returns data. Our results show that the
proposed specifications provide a quite reasonably good performance being so of interest for
applications involving the modelling and forecasting of heavy-tailed distributions
Gender Factors and Inclusive Economic Growth: The Silent Revolution
121The gender factors that trigger economic growth in both high- and low-income countries were investigated in this study. To address these gender factors, four characteristic dimensions of gender inclusion were considered: education, access to the labor market, fertility, and democracy. The relationship between economic growth and gender factors was analyzed in a sample of
127 countries. Value and robustness were added to the results using dynamic models applied to panel data while accounting for endogeneity. We conclude that high fertility in women has negative effects on economic growth. However, when women have greater access to secondary education and the labor market in conditions of equality, the effects are positive. Similarly, the access of women to active political participation has significant effects on economic growth. Overall, this study helps identify which gender factors may promote inclusive economic growth, which is economic growth achieved when both men and women are incorporated in equal conditions.S
Insider trading en la banca espa¤ola
Existe evidencia previa de sobre las ganancias obtenidas por directivos empresariales en sus operaciones de mercado abierto gracias a su acceso a informaci¢n privada, pero poco se puede decir, fuera del mercado estadounidense, respecto al comportamiento de los directivos bancarios. El presente trabajo avanza en esta l¡nea planteando dos objetivos para el caso espa¤ol. En primer lugar comprueba si existe causalidad en el sentido de Granger entre el insider trading de los directivos bancarios y los retornos de las acciones de su entidad. El segundo objetivo consiste en identificar qu‚ factores caracterizan el insider trading bancario. Nuestros resultados demuestran que efectivamente el insider trading bancario causa los retornos con una relaci¢n positiva a corto plazo y una relaci¢n negativa a largo plazo. El menor grado de participaci¢n directiva en la propiedad de la empresa, las inferiores oportunidades de inversi¢n y el menor nivel de capitalizaci¢n bancaria son los factores que mayor peso tienen a la hora de explicar el insider trading bancario en Espa¤a. There exists previous evidence on the profitability obtained by corporate directors in their open-market transactions based on private corporate information. However, not much can be said about bank directors, outside US markets. The current study attempts to save the gap by aiming two objectives in the Spanish context. The first one being whether there exists a causal relationship in Granger sense between stock returns and insider trading by bank managers. Secondly, by determining which are the factors affecting bank insider trading. Our results confirm that bank insider trading causes stock returns being positively related at the short run and negatively at the long run. Furthermore, the lower directors? capital ownership, the worse investment opportunities and the lower level of bank capitalization the higher the intensiveness of insider trading by Spanish bank directors.Insider trading, sector bancario, causalidad de Granger, informaci¢n asim‚trica