In this paper, we examine the directional predictability of excess stock market returns by lagged excess returns from industry portfolios and a number of other commonly used variables by means of dynamic probit models. We focus on the directional component of the market returns because, for...

The objective of our work is to analyze the forecast performance of the dynamic Nelson-Siegel yield curve model and, for comparison, the first order autoregressive (AR(1)) model applied to a set of US bond yield data that covers a large timespan from November 1971 to December 2008. As a...

This study aims to introduce an ideal model for forecasting crude oil price volatility. For this purpose, the ‘predictability’ hypothesis was tested using the variance ratio test, BDS test and the chaos analysis. Structural analyses were also carried out to identify possible nonlinear...

This text presents a study of various models based on jump processes in the context of foreign exchange (FX) rates modeling. Quality of FX rate log-returns fit is assessed for models such as Merton and Kou jump-diffusions, normal inverse Gaussian, variance gamma, and Meixner. The study is...

This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process...

The study examines the socio-economic factors discriminating defaulters and non-defaulters of credit repayment. Multi-stage sampling design was adopted for selection of farm respondents. The data were collected through structured questionnaire by personal interview method. A linear discriminant...

This paper critically examines the quantitative approach to financial crises from two perspectives. First, the assumption of comparability of financial crises is analyzed. The key question here is: how comparable are crises? An important consideration here is the context – social and...

The article analyzes the ways of making investment decisions. The use of net present value (NPV) and internal rate of return (IRR) are criticized. Describes the indicator « the indicator of the speed of specific increment in value» (IS). The numerical example, proposed in the form of a...

In this paper, we investigate the value-at-risk predictions of four major precious metals (gold, silver, platinum, and palladium) with long memory volatility models, namely FIGARCH, FIAPARCH and HYGARCH, under normal and student-t innovations’ distributions. For these analyses, we consider...

A central issue around which the recent growth literature has evolved is that of financial econometrics modeling. Expansions of interest in the modeling and analyzing of financial data and the problems to which they are applied should be taken in account.This article focuses on econometric...