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Forecasting Volatility in Developing Countries' Nominal Exchange Returns
Antonakakis, Nikolaos - 2014
This article identifies the best models for forecasting the volatility of daily exchange returns of developing …
Persistent link: https://www.econbiz.de/10013058579
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Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries
Ceballos, Francisco - 2015
Understanding the sources of domestic food price volatility in developing countries and the extent to which this … volatility is transmitted from international to domestic markets is critical to help design better global, regional, and domestic … policies to cope with excessive food price volatility and to protect the most vulnerable groups. This paper examines price and …
Persistent link: https://www.econbiz.de/10013012360
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Response of macro variables of emerging and developed oil importers to oil price movements
Taghizadeh-Hesary, Farhad; Yoshino, Naoyuki; Mohammadi … - In: Journal of the Asia Pacific economy 21 (2016) 1, pp. 91-102
Persistent link: https://www.econbiz.de/10011442055
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Regime Switching GARCH Models and GARCH Models, in Stock Market of the Developing Countries'
Nazifi, Minoo - 2012
forecasting the volatility of Tehran stock market in some horizon of forecasting. This paper provides an analysis of regime … switching in volatility and out-of-sample forecasting of the IRAN using daily data for the period 1995-2011. We first model … volatility regime switching within a univariate Markov-Switching framework. Then We provide out-of-sample forecasts of the TEHRAN …
Persistent link: https://www.econbiz.de/10013112200
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Forecast of value at risk for equity indices : an analysis from developed and emerging markets
Huang, Alex; Tseng, Tsung-Wei - In: Journal of risk finance : the convergence of financial … 10 (2009) 4, pp. 393-409
Persistent link: https://www.econbiz.de/10009523713
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Market Risk of Developed and Emerging Countries During the Global Financial Crisis
Köksal, Bülent - 2013
This study compares the performance of the widely used risk measure Value-at-Risk (VaR) across a large sample of developed and emerging countries. The performance of the VaR is assessed by both unconditional and conditional tests of Kupiec and Christoffersen, respectively, as well as the...
Persistent link: https://www.econbiz.de/10013091310
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Economic Policy Uncertainty : Persistence and Cross-Country Linkages
Aikins Abakah, Emmanuel Joel - 2020
This paper provides new evidence on the stochastic behaviour of the EPU (Economic Policy Uncertainty (EPU) index constructed by Baker et al. (2016) in six of the biggest economies (Canada, France, Japan, US, Ireland, and Sweden) over the period from January 1985 to October 2019. In particular,...
Persistent link: https://www.econbiz.de/10012833734
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Estimating the Currency Composition of Foreign Exchange Reserves
Ferranti, Matthew - 2022
Central banks manage over $12 trillion in foreign exchange reserves, influencing global exchange rates and asset prices. However, some of the largest holders of reserves report minimal information about their currency composition, hindering empirical analysis. I describe a Hidden Markov Model to...
Persistent link: https://www.econbiz.de/10014236446
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The relationship between aid and economic growth of developing countries : does institutional quality and economic freedom matter?
Abate, Chala Amante - In: Cogent economics & finance 10 (2022) 1, pp. 1-20
collected from 44 developing countries of the world. System generalized method of moment was employed to examine the nature of …
Persistent link: https://www.econbiz.de/10013460262
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Foreign aid, poor data, and the fragility of macroeconomic inference
Roger, Lionel - 2015
the Penn World Table and the World Development Indicators, I investigate the robustness of Juselius, Møller and Tarp (2014 …
Persistent link: https://www.econbiz.de/10011375893