https://www.um.edu.mt/library/oar/handle/123456789/28461 2026-04-27T17:25:47Z 2026-04-27T17:25:47Z Tsionas, Efthymios G. https://www.um.edu.mt/library/oar/handle/123456789/30875 2018-06-13T01:25:19Z 2000-01-01T00:00:00Z

Title: Likelihood analysis of random effect stochastic frontier models with panel data Authors: Tsionas, Efthymios G. Abstract: The paper takes up posterior analysis of the stochastic frontier model with random effects when panel data is available. Available treatments of the model result in a likelihood function that is highly nonlinear and, as a result, applied researchers prefer to use fixed effect formulations when efficiency measurement is sought from panel data. The methodology is based on Gibbs sampling. It is shown how posterior distributions of parameters can be derived and how firm-specific efficiency measures can be computed.

2000-01-01T00:00:00Z Kyrtsou, Catherine Terraza, Virginie https://www.um.edu.mt/library/oar/handle/123456789/30874 2018-06-13T01:24:53Z 2000-01-01T00:00:00Z

Title: Volatility behaviour in emerging markets : a case study of the Athens stock exchange, using daily and intra-daily data Authors: Kyrtsou, Catherine; Terraza, Virginie Abstract: In this paper we study the volatility behaviour, the aggregation effects and we investigate the nature of shocks coming disturb the Greek Market. To do so, we apply the ARCH LM, the fractional integration (Geweke and Porter-Hudak, 1983) and the R/S (Lo, 1991) tests, to daily and intra-daily data. The findings support trading-day effects in intra-daily series, and for this reason we prefer examining the source of shocks by estimating only the daily returns with a GARCH(p,q)-M model. The obtained results show that endogenous factors, such as local information, play a more important role in emerging that in developed Stock Exchanges.

2000-01-01T00:00:00Z Staikouras, Sotiris K. Dinenis, Elias https://www.um.edu.mt/library/oar/handle/123456789/30837 2018-06-12T01:24:17Z 2000-01-01T00:00:00Z

Title: The pricing of risk factors and the UK insurance stocks' performance a nonlinear multivariate approach Authors: Staikouras, Sotiris K.; Dinenis, Elias Abstract: The objective of the present study is to examine the impact of exchange and interest rate changes on the common stock returns of the insurance companies in the UK. All general and life insurance firms listed in the London Stock Exchange are selected for this purpose. An augmented market model with the additional variables of the interest and exchange rate indices is employed to test both the pricing question and the factor sensitivity of the particular sample. A seemingly unrelated regression (SURE) multivariate estimation with both cross–equation restrictions and within equation nonlinear constraints on the parameters is employed. This method eliminates the errors in variable (EIV) problem and the estimates are strongly consistent and asymptotically normal even without the assumption of normally distributed errors. The two main implications of this investigation are as follows. First both kinds of insurance companies are negatively and equally affected by unanticipated changes in interest rates. Second the changes in exchange rates seem to inversely affect the general insurance companies, while the life insurance firms seem to be insensitive.

2000-01-01T00:00:00Z Harissis, Harilaos F. https://www.um.edu.mt/library/oar/handle/123456789/30836 2018-06-12T01:24:24Z 2000-01-01T00:00:00Z

Title: The capital asset pricing model : a review of the issues Authors: Harissis, Harilaos F. Abstract: The aim of this paper is to review the literature relating to the theoretical basis of the Capital Asset Pricing Model (CAPM). The derivation of the CAPM is presented, followed by the empirical tests of it. There exists some further research however which is also presented, that criticize the CAPM, since it has often been challenged by statistical studies that fail to verify the validity of the model, as an adequate description of the way assets are priced.

2000-01-01T00:00:00Z