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Markov regime-switching autoregressive model of stock market returns in Nigeria
Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN Journal of Applied Statistics 11 (2020) 2, pp. 65-83
studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …
Persistent link: https://www.econbiz.de/10012604575
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Covariance prediction in large portfolio allocation
Trucíos, Carlos; Zevallos, Mauricio; Hotta, Luiz K.; … - In: Econometrics 7 (2019) 2, pp. 1-24
Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict...
Persistent link: https://www.econbiz.de/10012696234
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GARCH Family Models vs EWMA: Which is the best model to forecast volatility of the Moroccan stock exchange market?
Jebari, Ouael El; Hakmaoui, Abdelati - In: Revista de Métodos Cuantitativos para la Economía y … 26 (2018), pp. 237-249
Nowadays, modeling and forecasting the volatility of stock markets have become central to the practice of risk … to forecast the volatility of the Moroccan stock-market index MADEX. We use daily returns covering the period between 01 …, as well as leading to a better understanding of the Moroccan stock-exchange volatility dynamics, especially with the lack …
Persistent link: https://www.econbiz.de/10014494424
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Measuring dynamic return and volatility connectedness among Nigerian financial markets
Udeaja, Elias A. - In: CBN Journal of Applied Statistics 10 (2019) 2, pp. 169-191
This study employs the connectedness measure of Diebold and Yilmaz (2012, 2014) to examine the intensity of connectedness among the Nigerian financial markets for the period January 2000 to December 2018. The study used all shares index, Treasury bill rate and Naira/USD official exchange rate to...
Persistent link: https://www.econbiz.de/10012229211
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Stock market volatility response to COVID-19: Evidence from Thailand
In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-9
This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 … pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 …
Persistent link: https://www.econbiz.de/10014332748
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Risk-based portfolios with large dynamic covariance matrices
Nakagawa, Kei; Imamura, Mitsuyoshi; Yoshida, Kenichi - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-14
In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods such as minimum variance (MV), risk parity (RP), and...
Persistent link: https://www.econbiz.de/10011996106
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Stock returns and risk: Evidence from quantile
Chiang, Thomas C.; Li, Jiandong - In: Journal of Risk and Financial Management 5 (2012) 1, pp. 20-58
This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...
Persistent link: https://www.econbiz.de/10011843232
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A three-state Markov model for predicting movements of asset returns of a Nigerian Bank
Raheem, Maruf A.; Ezepue, Patrick O. - In: CBN Journal of Applied Statistics 07 (2016) 2, pp. 77-99
We present in this paper an alternative approach to determining and predicting the fluctuations in the daily prices and stock returns of a first-generation bank in the Nigerian Stock Market (NSM). The approach uses a three-state Markov to estimate the expected duration of the asset returns in...
Persistent link: https://www.econbiz.de/10011961648
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Swiss Franc from the Croatian Perspective
Bošnjak, Mile - In: Journal of Central Banking Theory and Practice 7 (2018) 3, pp. 41-56
In Croatia and other countries of Central and Eastern Europe, as a consequence of deep financial integration and abolition of capital controls, considerable loans to households indexed to the Swiss franc have emerged. Although all of researchers of the Swiss franc do not agree entirely on...
Persistent link: https://www.econbiz.de/10012217889
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Empirical estimation of intraday yield curves on the Italian interbank credit market e-MID
Demertzidis, Anastasios; Jeleskovic, Vahidin - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-23
This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include...
Persistent link: https://www.econbiz.de/10012611769