In this paper, we compare the out-of-sample forecasting ability of three ARIMA family models: ARIMA, ARIMAX, and ARIMAX-GARCH. The models are tested to forecast turning points and trends in the Canadian real estate index using monthly data from April 2002 to March 2011. The results indicate that...

Monetary authorities in Indonesia, as well as some academicians believe the absence of a long run relation between the Indonesian stock market and developed markets prevents this emerging market from being deeply affected by the US downturn. Nevertheless, this hypothesis may not apply to the...

This paper builds a model for intervention and/or mitigation of a financial crisis by first identifying those conditions precedent to a systemic based financial crisis, and then outlying a process to integrate firm specific and systematic risk into a comprehensive strategic model. A simple...

This paper seeks to explain how failures in corporate governance contributed to the global financial crisis. More precisely, it studies how the current corporate governance systems failed to safeguard against aggressive risk taking and to provide the control that companies need in order to...

In this study we examine the performance of banks headquartered in Hollywood and banks headquartered in Silicon Valley in the period - first quarter 2008 until second quarter 2012, which includes the period of the Great Recession, December 2007 to June 2009. We find that during the financial...

The present study is an attempt to evaluate the predictability of the foreign exchange volatility in thirteen countries. The data covers the period of 2005-2009. To effectively forecast the volatility in the exchange rates, a GARCH model is used. The study compares the results between crisis...

Many studies on mutual funds have demonstrated the existence of herding behavior and positive feedback trading. However, most research has not examined the characteristics of herding behavior, but simply attempted to determine if herding behavior exists. These studies fail to probe into the...

Due to the dynamic nature of stock market risk and return measurement, financial practitioners and academics are continuously concerned with the development of asset pricing studies. Moreover, validity of the existing theories in the recent Asian financial crises years stimulates additional...

This paper examines one of the major problems in credit risk models widely used in the financial industry to forecast future defaults and bankruptcies. We find that even after proper calibration, a representative credit risk model can severely underestimate default correlation. We further find...

During the October 9, 2007-March 9, 2009 period, the U.S. stock market experienced the worst bear market in its history since the Great Depression. Empirical studies show that exchange-traded country index funds can provide portfolio diversification benefits to investors in bull markets....