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The Effect of Non-Trading Days on Volatility Forecasts in Equity Markets
Lyocsa, Stefan - 2017
Weekends and holidays lead to gaps in daily financial data. Standard models ignore these irregularities. Because this issue is particularly important for persistent time series, we focus on volatility modelling, specifically modelling of realized volatility. We suggest a simple way of adjusting...
Persistent link: https://www.econbiz.de/10012952580
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Forecasting foreign exchange rates in developing economies
Bhawnani, Vijay - In: Applied economics 29 (1997) 1, pp. 51-62
Persistent link: https://www.econbiz.de/10001217492
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A Practitioner’s Guide to the CAPM: An Empirical Study
French, Jordan - 2018
amount of years to use in the estimation and which variation of the capital asset pricing beta provides the best results …-post constant beta is mispriced by 0.2 (developing) to 0.3 percent (developed). It is better to use short three-year estimation … windows with the market beta in developing economies and longer nine-year estimation windows with the adjusted beta in …
Persistent link: https://www.econbiz.de/10015093893
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Forecasting volatility in developing countries' nominal exchange returns
Antonakakis, Nikolaos; Darby, Julia - In: Applied financial economics 23 (2013) 19/21, pp. 1675-1691
Persistent link: https://www.econbiz.de/10010260183
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Estimating potential output in developing countries
Burns, Andrew; Van Rensburg, Theo Janse; Dybczak, Kamil; … - In: Journal of policy modeling : JPMOD ; a social science … 36 (2014) 4, pp. 700-716
Persistent link: https://www.econbiz.de/10010398963
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Political instability and country risk
Rivoli, Pietra - In: Global finance journal 8 (1997) 2, pp. 309-321
Persistent link: https://www.econbiz.de/10001233003
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A Practitioner’s Guide to the CAPM : An Empirical Study
French, Jordan - 2018
amount of years to use in the estimation and which variation of the capital asset pricing beta provides the best results … estimation windows with the market beta in developing economies and longer nine year estimation windows with the adjusted beta in …
Persistent link: https://www.econbiz.de/10012907773
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Does Forecasts Transparency Affect Macroeconomic Volatility in Developing Countries? Evidence from Quasi-Natural Experiments
Mazhar, Ummad - 2014
In this paper, we empirically investigate the link between forecasts transparency and macroeconomic volatility as measured by inflation and output growth volatility in developing economies. We adopt the quasi-random controlled experiments methodology that divides our sample of 49 developing...
Persistent link: https://www.econbiz.de/10013057552
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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 countries. An emerging consensus in the recent literature focusing on industrialized countries has noted the superior performance of the Fractionally Integrated Generalized...
Persistent link: https://www.econbiz.de/10013058579
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Corporate default risk modeling under distressed economic and financial conditions in a developing economy
Matenda, Frank Ranganai; Sibanda, Mabutho; Chikodza, Eriyoti - In: The journal of credit risk : published quarterly by … 17 (2021) 1, pp. 89-115
Persistent link: https://www.econbiz.de/10012519965