European Financial and Accounting Journal, 2015 (vol. 10), issue 2

Articles

Estimating the Value-at-Risk from High-frequency Data

Pavol Krasnovský

European Financial and Accounting Journal 2015, 10(2):5-11 | DOI: 10.18267/j.efaj.138  

We present two alternative approaches for estimating VaR. Both approaches are based on the observation that each trading day is very diverse and we can observe K different phases of the trading day. We can not observe from which of the K phases our observations rt are. Therefore, we apply Gibbs sampler to estimate parameters from our data. In the latter approach, we apply Dubins and Schwarz theorem (Kallenberg, 2000), which allows us to re-scale our portfolio returns rt and to get normal distributed returns rJt~N(0,Jt). To verify our approaches, we make an empirical application.

Global Reporting Initiative (GRI) and its Reflections in the Literature

Petr Petera, Jaroslav Wagner

European Financial and Accounting Journal 2015, 10(2):13-32 | DOI: 10.18267/j.efaj.139  

Sustainability Reporting Guidelines published by the organization Global Reporting Initiative are gaining on importance and we were investigating whether this trend is also reflected in academic literature and if so, how. We conducted bibliometric analysis based on the Web of Science database to identify key articles, authors, journals and research topics. Results show that the amount of literature dealing with GRI Guidelines is growing. Major journals are Journal of Business Ethics, Corporate Social Responsibility and Environmental Management and Journal of Cleaner Production. High productive authors according to the number of authored or co-authored...

Factors of Tax Decentralization in OECD-Europe Countries

Milan Jílek

European Financial and Accounting Journal 2015, 10(2):33-49 | DOI: 10.18267/j.efaj.140  

The article deals with the issue of tax decentralization to local government. The aim of the article is to describe the tax decentralization to local governments with respect to its possible determinants and to verify empirically the relevancy of theoretical factors generally explaining fiscal decentralization to the tax decentralization. The analysis is based on data panel of OECD-European covering the period of 1995 to 2013. Upon these data we build panel regression model. Estimated equations provide support for the hypotheses that the countries with larger geographical area tend to decentralize more tax revenue to local governments. Surprisingly,...

Administrative Costs of Taxation in Slovakia

Juraj Nemec, Ladislav Pompura, Vladimír Šagát

European Financial and Accounting Journal 2015, 10(2):51-61 | DOI: 10.18267/j.efaj.141  

This article reports an investigation into the administrative costs of the Slovak tax system. By applying methodology used in the Czech Republic, it analyses the administrative costs of taxation in Slovakia between 2004 and 2011. The results show that Slovakia has relatively high costs of tax administration compared to other developed countries, including its neighbours - the V4 countries. We argue that most of the higher relative cost is caused by subjective - speculative factors that will be addressed by ongoing tax system reforms.