The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model. Using Nigeria All Share Index from January 2, 2008 to...

In diesem Aufsatz wird die nichtparametrische Autoregression auf die Prognose von Quantilen angewendet. Verfahren der Kernregression werden benutzt, um zu autoregressiven Quantiisschätzern zu gelangen. Da die üblichen Maße zur Beurteilung der Prognose, wie etwa der mittlere quadratische...

This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...