Outputs (3)

Trust and employment protection legislation (2023)
Journal Article
Jayakody, S., Morelli, D., Nica, M., & Oberoi, J. (2023). Trust and employment protection legislation. Economics Letters, 234, Article 111441. https://doi.org/10.1016/j.econlet.2023.111441

We examine the role of generalized social trust in substituting for employment protection legislation. Using foreign direct investment from the US to a sample of OECD countries, we find that trust diminishes the importance of formal employment regula... Read More about Trust and employment protection legislation.

CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features (2023)
Journal Article
Mitrodima, G., & Oberoi, J. (2024). CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features. Journal of the Royal Statistical Society: Series C, 73(1), 1 -27. https://doi.org/10.1093/jrsssc/qlad081

We consider alternative specifications of conditional autoregressive quantile models to estimate Value-at-Risk and Expected Shortfall. The proposed specifications include a slow moving component in the quantile process, along with aggregate returns f... Read More about CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features.

Political uncertainty, corruption, and corporate cash holdings (2023)
Journal Article
Jayakody, S., Morelli, D., & Oberoi, J. (2023). Political uncertainty, corruption, and corporate cash holdings. Journal of Corporate Finance, 82, Article 102447. https://doi.org/10.1016/j.jcorpfin.2023.102447

Exposure to political corruption and political uncertainty separately demands opposing risk management responses: to reduce cash to minimize expropriation and to increase cash to hedge policy risk. We study how local political corruption and politica... Read More about Political uncertainty, corruption, and corporate cash holdings.