April 2020 - 23 articles
In this paper we analyze the effectiveness of more than 30 years of efforts by international banking supervisors, working together in the Basel Committee on Banking Supervision, to harmonize capital and liquidity standards for internationally active...
In 2010, the Basel Committee on Banking Supervision published an assessment of the long-term economic impact (LEI) of stronger capital and liquidity requirements. This paper considers this assessment in light of estimates from later studies of the ma...
The impact of tax incentives on the investment attractiveness of bonds for retail investors is assessed in the article. The paper presents a comparative empirical analysis of investment attractiveness of Russian bonds and bank deposits for domestic r...
We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account the...
This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX),...
Prediction of financial market data with deep learning models has achieved some level of recent success. However, historical financial data suffer from an unknowable state space, limited observations, and the inability to model the impact of your own...
In this study, we focus on how banks can enhance their efficiency in the utilization of resources to ensure their economic sustainability. We propose a novel three-stage (production, investment, and revenue generation) network Data Envelopment Analys...
The research interest in bank profitability and efficiency is linked to the economic situation and an important issue for policymakers is to ensure economic stability. Nevertheless, managerial decisions and the environment could play a critical role...
The Nelson–Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a para...
This study first analyzes the national and global infection status of the Coronavirus Disease that emerged in 2019 (COVID-19). It then uses the trend comparison method to predict the inflection point and Key Point of the COVID-19 virus by comparison...
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