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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

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

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

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

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

A Practitioner’s Guide to the CAPM: An Empirical Study

French, Jordan - In: Global tensions in financial markets, (pp. 1-18). 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