Template-Type: ReDIF-Article 1.0 Author-Name: Pavol Krasnovský Title: Estimating the Value-at-Risk from High-frequency Data Abstract: 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. Keywords: Data augmentation, Quadratic variation, Time changed Brownian motion, Gibbs sampler Classification-JEL: C15, C53 Pages: 5-11 Volume: 2015 Issue: 2 Year: 2015 File-URL: http://www.vse.cz/efaj/download.php?jnl=efaj&pdf=138.pdf File-URL: http://www.vse.cz/efaj/138 File-Format: text/html Handle: RePEc:prg:jnlefa:v:2015:y:2015:i:2:id:138:p:5-11 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlefa/references/138 Template-Type: ReDIF-Article 1.0 Author-Name: Petr Petera Author-Name: Jaroslav Wagner Title: Global Reporting Initiative (GRI) and its Reflections in the Literature Abstract: 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 articles are Brown, H. S., Manetti, G., Evangelinos, K., Skouloudis, A., Searcy, C., Issac, B. and Modapothala, J. R. Research topics of these high productive authors are development of GRI as an institution, development of GRI Guidelines per se, methodologies for assessment of sustainability in organizations and composite indices, methodologies for evaluation and quality assessment of corporate responsibility reports, development of specific (e.g. sector-based) indicators and empirical investigation into indicators used in practice, stakeholder’s role in the process of corporate responsibility reporting, assurance for corporate responsibility reports, exploring relation between quality of corporate sustainability disclosure and various variables, empirical content analysis and comparative content analysis of corporate sustainability reports and conceptual issues. We can conclude that the amount of relevant literature is growing and high productive authors and journals are emerging. Keywords: Corporate social responsibility reporting, Global Reporting Initiative (GRI), Bibliometric analysis Classification-JEL: M40 Pages: 13-32 Volume: 2015 Issue: 2 Year: 2015 File-URL: http://www.vse.cz/efaj/download.php?jnl=efaj&pdf=139.pdf File-URL: http://www.vse.cz/efaj/139 File-Format: text/html Handle: RePEc:prg:jnlefa:v:2015:y:2015:i:2:id:139:p:13-32 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlefa/references/139 Template-Type: ReDIF-Article 1.0 Author-Name: Milan Jílek Title: Factors of Tax Decentralization in OECD-Europe Countries Abstract: 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, the slope parameters of population and population density have negative sign and are statistically significant. The real GDP per capita proved to be a significant factor of tax decentralization. The inequality of household income, as well as the share of urban population, although having correct sign, is not statistically significant. The size of redistribution function is highly statistically significant, suggesting that countries with higher redistribution decentralize more taxes to local government. The heterogeneity variable showed results with correct sign, where religious and language fractionalization were statistically significant. The very fact that the country is or is not federated or belong or not to group of Central and Eastern European Country seems to be unimportant for tax decentralization to local government level. Keywords: Fiscal decentralization, Tax decentralization, Taxation autonomy, Local government Classification-JEL: H71 Pages: 33-49 Volume: 2015 Issue: 2 Year: 2015 File-URL: http://www.vse.cz/efaj/download.php?jnl=efaj&pdf=140.pdf File-URL: http://www.vse.cz/efaj/140 File-Format: text/html Handle: RePEc:prg:jnlefa:v:2015:y:2015:i:2:id:140:p:33-49 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlefa/references/140 Template-Type: ReDIF-Article 1.0 Author-Name: Juraj Nemec Author-Name: Ladislav Pompura Author-Name: Vladimír Šagát Title: Administrative Costs of Taxation in Slovakia Abstract: 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. Keywords: Slovakia, Tax administration, Administrative costs of taxation Classification-JEL: H20 Pages: 51-61 Volume: 2015 Issue: 2 Year: 2015 File-URL: http://www.vse.cz/efaj/download.php?jnl=efaj&pdf=141.pdf File-URL: http://www.vse.cz/efaj/141 File-Format: text/html Handle: RePEc:prg:jnlefa:v:2015:y:2015:i:2:id:141:p:51-61 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlefa/references/141