The estimation of systematic risk (or 'beta') in central to the implementation of the Capital Asset Pricing Model and the market model for both researchers and practioners. It is well known that a variety of beta estimates can result for the one stock dependeng on various factors such as the...

This paper considers the ability of the Power ARCH model introduced by Ding, Granger and Engle (1993) to capture the stylised features of volatility in 17 heavily traded bilateral exchange rates. This Power ARCH model nests a number of models from the ARCH family. The relative merits of these...

Australian fiscal federalism is characterised by vertical fiscal imbalance, with revenue-raising powers vested mainly in the Commonwealth government and expenditure functions falling largely on state and local governments. Historically a system of intergovernmental grants has been employed to...

The ability of forecast the S&P500 is inconsistent with the notion of efficient markets. this established wisdom has come under attack in the past few years, from such concepts as noise trading. A Potential problem with noise trading, however, is that there are no tools to inform inormation of...

A recent addition to the ARCH family of econometric models was introduced by Ding, Granger and Engle (1993) wherein the power term by which the data is transformed was estimated within the model rather than being imposed by the researcher. This paper considers the ability of the Power GARCH...

The use of conditionally heteroscedastic models to model time varying volatility has become commonplace in the empirical finance literature. Ding, Granger and Engle (1993) suggested a model which extends the ARCH class of models to analysing a wider class of power transformations than simply...

The weekend effect is an empirical enomaly that has attracted substantial attention. Following the work of Connoly (1989) it is necessary to revisit previous empirical work. In this paper we examine the weekend effect in Malaysia over the period 1986-1993.

Linear regression models have been used in a number of studies examining the presence or absence of incremental information contents in cash flow. The results of these studies have not been consistent. This paper draws attention to the critical issue of extreme observations in the data. Extreme...

This paper extends the existing literature into the relationship between beta stability and the length of the estimation period. Specifically of our analysis in the use of powerful new econometrics tests and their application to non-US data, namely, Australian monthly stock returns.