Silvo Dajcman
Biographic Data
| ID | 310470 |
|---|---|
| NAME | Silvo Dajcman |
| GIVEN NAMES | Silvo |
| FAMILY NAME | Dajcman |
| SIGNATURE | DAJCMAN S |
| AFFILIATIONS | University of Maribor |
| ORCID | 0000-0002-9801-0922 |
| VERIFIED | Yes |
| TOTAL WORKS | 5 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 5 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2012 |
| LATEST PUBLICATION YEAR | 2020 |
| H-INDEX | 0 |
Demand for residential mortgage loans and house prices in the euro area
This paper explores the determinants of demand for residential mortgage loans in the euro area, with a focus on the house prices-demand for loans nexus. We firstly identify the demand for residential mortgage loans and then empirically assess a model for an unbalanced panel of 13 euro area countries, covering the period 2003Q1-2016Q3. Our results show that the growth of house prices is positively associated with changes in demand for residential …
Production Function and Product and Labor Market Imperfections in Slovenia
Following recent advances in the panel time-series data analysis, this paper estimates the aggregate production function for Slovenia using industry-level data, thus allowing for variable non-stationarity, cross-industry heterogeneity and dependence. The production function parameter estimates are then used to calculate the joint (product and labor) market imperfections parameter developed by The results illustrate that: 1) a constant return-to-s…
Nonlinear spillovers between euro area sovereign bond markets
Th is paper examines nonlinear spillover eff ects between sovereign bond markets of six euro area countries (France, Ireland, Italy, Germany, Portugal, and Spain), four of which were among the hardest hit by the sovereign debt crisis, by applying a nonlinear Granger causality test of Th e test is applied on the sovereign bond yield dynamics (i.e. yield changes) time series for the time pe riod from 3 January 2000 -31 August 2011. We also test for…
Was there a contagion between major European and Croatian stock markets? An analysis of co-exceedances
This article examines extreme returns co-movement and contagion between the Croatian and 10 European stock markets during major financial market distress periods in the period from end of 2003 until start of 2012. The extreme return co-movement analysis is based on analysis of coincidences of extreme return shocks (co-exceedances; extreme returns are defined as lower 5% daily returns in the empirical return distributions) across investigated coun…
Interdependence between the Slovenian and European Stock Markets – A DCC-Garch Analysis
This paper examines the comovement and spillover dynamics between the Slovenian and some European (the UK, German, French, Austrian, Hungarian and the Czech) stock market returns. A dynamic conditional correlation GARCH (DCC-GARCH) analysis is applied to returns series of representative national stock indices for the period from April 1997 to May 2010 to answer the following questions: i) Is correlation (comovement) between the Slovenian and Euro…
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Interdependence between the Slovenian and European Stock Markets – A DCC-Garch Analysis
This paper examines the comovement and spillover dynamics between the Slovenian and some European (the UK, German, French, Austrian, Hungarian and the Czech) stock market returns. A dynamic conditional correlation GARCH (DCC-GARCH) analysis is applied to returns series of representative national stock indices for the period from April 1997 to May 2010 to answer the following questions: i) Is correlation (comovement) between the Slovenian and Euro…
Was there a contagion between major European and Croatian stock markets? An analysis of co-exceedances
This article examines extreme returns co-movement and contagion between the Croatian and 10 European stock markets during major financial market distress periods in the period from end of 2003 until start of 2012. The extreme return co-movement analysis is based on analysis of coincidences of extreme return shocks (co-exceedances; extreme returns are defined as lower 5% daily returns in the empirical return distributions) across investigated coun…
Nonlinear spillovers between euro area sovereign bond markets
Th is paper examines nonlinear spillover eff ects between sovereign bond markets of six euro area countries (France, Ireland, Italy, Germany, Portugal, and Spain), four of which were among the hardest hit by the sovereign debt crisis, by applying a nonlinear Granger causality test of Th e test is applied on the sovereign bond yield dynamics (i.e. yield changes) time series for the time pe riod from 3 January 2000 -31 August 2011. We also test for…
Production Function and Product and Labor Market Imperfections in Slovenia
Following recent advances in the panel time-series data analysis, this paper estimates the aggregate production function for Slovenia using industry-level data, thus allowing for variable non-stationarity, cross-industry heterogeneity and dependence. The production function parameter estimates are then used to calculate the joint (product and labor) market imperfections parameter developed by The results illustrate that: 1) a constant return-to-s…
Demand for residential mortgage loans and house prices in the euro area
This paper explores the determinants of demand for residential mortgage loans in the euro area, with a focus on the house prices-demand for loans nexus. We firstly identify the demand for residential mortgage loans and then empirically assess a model for an unbalanced panel of 13 euro area countries, covering the period 2003Q1-2016Q3. Our results show that the growth of house prices is positively associated with changes in demand for residential …
Economics (5 works) · Econometrics (3 works) · Financial Risk and Volatility Modeling (3 works) · Monetary economics (3 works) · Banking stability, regulation, efficiency (2 works) · Business (2 works) · Finance (2 works) · Financial economics (2 works) · Financial system (2 works) · Geography (2 works)