The aim of this paper is to give a comprehensive description of the risk dependence and interdependence between selected European stock markets and Brexit equity in the period spanning from January, 7, 2000 to February, 3, 2017 We have studied behavior of extreme quantiles using quantile regression approach. This approach is robust because it is based on the use of various measures of central tendency and dispersion statistics for a detailed analysis of the relationship between variables. We have found evidence of significant interdependence /independence between financial markets and Brexit uncertainty. The analysis of upper and lower quantiles allows us to observe that the interdependence is positive asymmetric and higher for bear markets compared to bull or normal market conditions in the period before the Brexit vote. Moreover, we have analyzed the influence of the Brexit vote on selected markets. We have found that one or two or three days after voting the dependence structure was changed mainly in normal market conditions for French and Turkish markets, while Polish and Spanish markets were not significantly influenced.
Gender inequality can differ by education attainment of the unemployed. Discrepancy between education attainment of the unemployed changed too. Nowadays, the ratio between primary and tertiary education in unemployment is higher than ever before in Spain and the European Union. Inequality among unemployed people in Switzerland couldn't be proven. Gender inequality in unemployment by education attainment and convergence of education attainment of the unemployed in the European Union, Spain and Switzerland was examined in this paper. Analysis has been carried out using unit-root test which allows for one structural break. With this method, we have examined the validity of hysteresis in unemployment gender inequality by education attainment and discrepancy between education attainment of the unemployed, analysed persistence of inequality and influence of the random shocks on them. Discrepancies between education attainment of the unemployed were compared by genders with Paired samples t-test. Women are still at a disadvantage compared to men, random economic shocks have low or non-existent impact on the gender gap and education attainment discrepancies in analysed countries and the European Union, and their impact has been just temporary. Education attainment discrepancy increased among the unemployed in Spain and the European Union, this could be the consequence of companies changed preference of employee education. They preferred employees with higher education attainment before those with lower education attainment.
Gender inequality is persistent in the labor market despite equality between genders being one of the fundamental principles of the EU law. This is a reason why we have decided to analyze gender inequality in unemployment rates of the 27 European Union countries. Unemployment gender inequality differs across EU countries. There are countries where gender gap is persistent, but there are also countries where gender gap changed during the observed period of 2005Q1-2017Q2. Moreover, in some countries gender inequality decreased, while in others it was steady. Unemployment rates differ across countries similarly as unemployment gender inequality does, therefore, by choosing these countries, we have obtained a portfolio of distinct behaviors throughout the time. We have also obtained the relations between them. We test the hypothesis of the hysteresis to check the relation between the unemployment gender inequality and the unemployment rate levels, gender disadvantaged through unemployment gender inequality and the unemployment rate levels. This hypothesis was tested for both univariate and panel data country series. We could not reject the hypothesis of the hysteresis in univariate country series using a battery of GLS unit root tests proposed by Carrióni-Silvestre et al. (Econ Theory 25:1754-1792, 2009. However, ILT test of Im et al. (Oxf Bull Econ Stat 67:393-419, 2005) rejected the hypothesis of the hysteresis for panel data of the European Union countries. Finally, the relationship between unemployment gender inequality and disadvantaged gender in inequality depends on the country analyzed. This result suggests that further analysis is needed to identify * Marina Faďoš
Abstract:The article presents a comparative study of parametric linear value-at-risk (VaR) models used for estimating the risk of financial portfolios. We illustrate how to adjust VaR for auto-correlation in portfolio returns. The article presents static and dynamic methodology to compute VaR, based on the assumption that daily changes are independent and identically distributed (normal or non-normal) or auto-correlated in terms of the risk factor dynamics. We estimate the parametric linear VaR over a risk horizon of 1 day and 10 days at 99% and 95% confidence levels for the same data. We compare the parametric VaR and a VaR obtained using Monte Carlo simulations with historical simulations and use the maximum likelihood method to calibrate the distribution parameters of our risk factors. The study investigated whether the parametric linear VaR applies to contemporary risk factor analysis and pertained to selected foreign rates. JEL Classification Numbers: G10, G17, C13, C15, DOI: http://dx
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