As the Association of Southeast Asian Nations (ASEAN) becomes an emerging market, US investors will want to know how their favorite method of calculating asset pricing fits into this new undeveloped market. Also, as the ASEAN becomes more internationalized, managers within will look for ways in...

English Abstract: This study has attempted to seek a volatility forecasting model that can reflect sufficiently the long memory characteristic in the volatility of four Eastern European emerging stock markets, namely, Hungary, Poland, Russia, and Slovakia. From the results of our empirical...

The sub-prime crisis of mid 2008 has revealed that financial asset price volatility has the potential to undermine financial stability. It has been observed that the financial stability is endangered more by sudden shifts in volatility rather than by a sustained increase in the level of...

A new short-rate model and a new explicit instantaneous mean reversion formula are introduced. The introduction is presented via a comparison of various short-rate one factor models, which are calibrated and analyzed numerically via a Monte Carlo simulation. Two variance reduction techniques,...

The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta coefficient. This study instead uses a battery...

Risk factors and systematic factor strategies are fast becoming an integral part of the global asset management landscape. In this report, we provide an introduction to, and critique of, the factor investing paradigm in a South African setting. We initially discuss the general factor...

In a world of interconnected financial markets it is plausible that risk appetite — an important factor in asset pricing — is determined globally. By constructing an estimate of variance risk premia (VRP) for UK, US and euro-area equity markets, we are able to estimate international variance...

The VIX index is not only a volatility index but also a polynomial combination of all possible higher moments in market return distribution under the risk-neutral measure. This paper formulates the VIX as a linear decomposition of four fundamentally different elements: the realized variance...

An exploratory study is conducted to assess the persistence of cointegration among U.S. equities. In other words, if a pair of equities is found to be cointegrated in one period, is it likely that it will be found to be cointegrated in the subsequent period? An examination is performed of pairs...

We decompose the squared VIX index, derived from US S&P500; options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...