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We investigate the persistence in monthly KSE100 excess stock returns over the Treasury bills rates using non-Gaussian state space or unobservable component model with stable distributions and volatility persistence. Results from our non-Gaussian state space model, which is an improvement over...
Persistent link: https://www.econbiz.de/10005796719
We investigate whether business cycle dynamics in seven industrialized countries (the G7) are characterized by asymmetries in conditional mean. We provide evidence on this issue using a variety of time series models. Our approach is fully parametric. Our testing strategy is robust to any...
Persistent link: https://www.econbiz.de/10005186845
This research studies possible existence of business cycle asymmetries in Canada, France, Germany, Italy, Japan, UK, and US real GDP growth rates. Asymmetries in these countries are modeled using in-sample as well as jackknife out-of-sample forecasts approximated from artificial neural networks....
Persistent link: https://www.econbiz.de/10010598967
We investigate the possible predictability of firm growth in Taiwan using cross-sectional data of financial factors for the years 1997 and 2003 via principal component analysis. Our results reveal that the 18 financial variables (sales growth rate, total assets, total sales, return on assets,...
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