<?xml version="1.0" encoding="UTF-8"?>
<feed xmlns="http://www.w3.org/2005/Atom" xmlns:dc="http://purl.org/dc/elements/1.1/">
  <title>EconStor Community: Cardiff Business School, Cardiff University</title>
  <link rel="alternate" href="https://hdl.handle.net/10419/65712" />
  <subtitle>Cardiff Business School, Cardiff University</subtitle>
  <id>https://hdl.handle.net/10419/65712</id>
  <updated>2026-04-28T11:20:36Z</updated>
  <dc:date>2026-04-28T11:20:36Z</dc:date>
  <entry>
    <title>Adaptive LASSO-MGARCH for multivariate volatility forecasting</title>
    <link rel="alternate" href="https://hdl.handle.net/10419/339522" />
    <author>
      <name>Xu, Yongdeng</name>
    </author>
    <author>
      <name>Lyu, Juyi</name>
    </author>
    <author>
      <name>Lu, Wenna</name>
    </author>
    <id>https://hdl.handle.net/10419/339522</id>
    <updated>2026-04-04T01:07:15Z</updated>
    <published>2026-01-01T00:00:00Z</published>
    <summary type="text">Title: Adaptive LASSO-MGARCH for multivariate volatility forecasting
Authors: Xu, Yongdeng; Lyu, Juyi; Lu, Wenna
Abstract: This paper evaluates an Adaptive LASSO-MGARCH model for multivariate volatility forecasting, with an application to green and conventional bonds, equities, energy commodities, and EU carbon allowances. By introducing coefficient-specific adaptive penalisation directly into the multivariate GARCH variance equations, the model delivers a sparse and data-driven volatility spillover structure while preserving positive definiteness of the conditional covariance matrix. Using daily data on green and conventional bonds, equities, energy commodities, and carbon allowances, we show that adaptive regularisation substantially reduces model complexity and improves economic interpretability relative to an unpenalised MGARCH benchmark. Out-of-sample forecasting experiments at multiple horizons demonstrate that the Adaptive LASSO-MGARCH model consistently achieves lower covariance forecast losses, and statistical tests based on the White reality check confirm that these improvements are significant across alternative loss functions.</summary>
    <dc:date>2026-01-01T00:00:00Z</dc:date>
  </entry>
  <entry>
    <title>Securitization, bank regulation, and the macroeconomy</title>
    <link rel="alternate" href="https://hdl.handle.net/10419/339520" />
    <author>
      <name>Luintel, Kul B.</name>
    </author>
    <author>
      <name>Torres, José L.</name>
    </author>
    <id>https://hdl.handle.net/10419/339520</id>
    <updated>2026-04-04T01:07:24Z</updated>
    <published>2026-01-01T00:00:00Z</published>
    <summary type="text">Title: Securitization, bank regulation, and the macroeconomy
Authors: Luintel, Kul B.; Torres, José L.
Abstract: We develop a general equilibrium framework in which a commercial banker, constrained by capital adequacy requirements, creates a special purpose vehicle (SPV) to hold securitized assets off its balance sheet. By operating the bank and SPV as separate entities, the banker circumvents regulation, creating a gap between de jure and de facto statutory capital ratios. We quantify this gap. Our model integrates loan-to-value ratio and collateral constraints, together with credit default risk, to examine the dynamic interactions between the real and financial sectors, both with and without securitization, over business cycle. We find that securitization is expansionary, promotes regulatory arbitrage, increases off-balance-sheet lending under tighter regimes, amplifies credit risk, and enhances welfare in the steady state. Securitization becomes a prominent tool in bypassing stricter regulations, such as high capital requirements or tight loan-to-value caps. Our results call for robust oversight of securitization to preserve the integrity of capital regulation.</summary>
    <dc:date>2026-01-01T00:00:00Z</dc:date>
  </entry>
  <entry>
    <title>The performative role of soft skills education: Reshaping business realities through cross-cultural learning in Chinese organizations</title>
    <link rel="alternate" href="https://hdl.handle.net/10419/339511" />
    <author>
      <name>Wu, Jie</name>
    </author>
    <author>
      <name>Canales, J. Ignacio</name>
    </author>
    <author>
      <name>Zhou, Peng</name>
    </author>
    <author>
      <name>Yan, Haifeng</name>
    </author>
    <id>https://hdl.handle.net/10419/339511</id>
    <updated>2026-04-04T01:07:11Z</updated>
    <published>2026-01-01T00:00:00Z</published>
    <summary type="text">Title: The performative role of soft skills education: Reshaping business realities through cross-cultural learning in Chinese organizations
Authors: Wu, Jie; Canales, J. Ignacio; Zhou, Peng; Yan, Haifeng
Abstract: This study examines how soft skills education performatively shapes business realities across cultural boundaries. While prior research has treated soft skills as static capabilities, we demonstrate their role as performative forces actively reshaping organizational practices. Through in-depth interviews with Chinese graduates of UK universities working in China, our findings reveal an inverted U-shaped relationship between structural performativity and organizational transformation, moderated by collective orientation (weakening effect) and absorptive capacity (strengthening effect) and pinpoint six key domains through which soft skills education acts as a performative mechanism. Our findings suggest that successful organizational transformation through soft skills education requires balancing international connections, cultural values, and knowledge integration capabilities. The study advances performativity theory in management education by demonstrating how educational practices actively construct organizational realities rather than merely describing them and provides insights for business schools on effectively harnessing performativity to create desirable organizational outcomes in cross-cultural contexts.</summary>
    <dc:date>2026-01-01T00:00:00Z</dc:date>
  </entry>
  <entry>
    <title>Enforcing an admissible parameter space for vector MEM: The fundamental role of matrix inequality constraints</title>
    <link rel="alternate" href="https://hdl.handle.net/10419/339521" />
    <author>
      <name>Karanasos, Menelaos</name>
    </author>
    <author>
      <name>Xu, Yongdeng</name>
    </author>
    <author>
      <name>Yfanti, Stavroula</name>
    </author>
    <author>
      <name>Zopounidis, Constantin</name>
    </author>
    <id>https://hdl.handle.net/10419/339521</id>
    <updated>2026-04-04T01:07:18Z</updated>
    <published>2026-01-01T00:00:00Z</published>
    <summary type="text">Title: Enforcing an admissible parameter space for vector MEM: The fundamental role of matrix inequality constraints
Authors: Karanasos, Menelaos; Xu, Yongdeng; Yfanti, Stavroula; Zopounidis, Constantin
Abstract: We derive an admissible parameter space for vector Multiplicative Error Models (vMEMs), explicitly formulating it in terms of the model's matrix parameters through a set of matrix inequalities. Another key contribution is the adoption of constrained maximum likelihood estimation for the multivariate process, which ensures compliance with these matrix inequalities and addresses the limitations of unconstrained approaches used in previous studies. To demonstrate the effectiveness of the proposed method, we apply it to four empirical cases in financial volatility modeling, emphasizing its practical relevance.</summary>
    <dc:date>2026-01-01T00:00:00Z</dc:date>
  </entry>
</feed>

