This study attempts to empirically investigate the impact of interest rate liberalisation on the efficiency of investment allocation in Kenya – using cointegration-based error-correction model. The study was motivated by the current debate on the efficacy of interest rate liberalisation on the...

This study examines whether the output gap leads portfolio stock returns. The paper conducts in-sample and out-of-sample forecasting of US stock portfolios formed on the basis of size and value. First, the paper finds cross-sectional portfolios are predictable in-sample by the output gap....

Univariate dependencies in market volatility, both objective and risk neutral, are best described by long-memory fractionally integrated processes. Meanwhile, the ex post difference, or the variance swap payoff reflecting the reward for bearing volatility risk, displays far less persistent...

We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and...

Returns in financial assets show consistent excess kurtosis, indicating the presence of large fluctuations not predicted by Gaussian models. Mandelbrot (1963) first proposed the idea that price changes distributed according to a Lévy stable law. The unique feature of Lévy-stable distributions...

This paper examined equity market integration within the emerging and frontier stock markets of south and east Africa, and the rest of the world. Using maximum likelihood based cointegration we showed that there are weak stochastic trends between African markets and world markets. With the...

A Self-Exciting Threshold AutoRegressive (SETAR) model is applied to the Italian stock market volatility, to obtain volatility forecasts and Value-at-Risk (VaR) estimates. There is almost nothing dealing with Italian markets in the literature of Threshold models, which have never been used for...

In this Paper we investigate the ability of different models to produce useful VaR-estimates for exchange rate positions. We make a distinction between models that include sophisticated tail properties and models that do not. The former type of models often leads to too extreme VaR-estimates,...

Both the day of the week and the month of the year effects are examined for the Ghana Stock Exchange. The latter is an interesting case because (a) it operates for only 3 days per week during the sample period and (b) the increased focus that African stock markets have received lately from both...

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...