This paper examines whether accounting for structural changes in the conditional variance process, through the use of Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional single-state (G)ARCH models, within and across selected...

The purpose of this paper is to foresee the likely developmental impact of the proposed institutionalisation of derivatives trading in sub-Saharan Africa(n) (SSA) countries. The case of South Africa is emphasised to illustrate how domestic derivatives trading could influence economic growth and...

This study tests the theory that currency crises are associated with sudden large changes in the structure of foreign exchange market volatility. Due to increases in market uncertainty, crisis periods exhibit abnormally high levels of volatility. By studying short-term changes in volatility...