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Comparing the market risk premia forecasts in JSE and NYSE equity markets

Oikonomikou, Leoni Eleni - 2016 - Corrected version: March 2016

This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks (ANNs), namely the Elman Network (EN) and the Higher Order Neural network (HONN), univariate ARMA and exponential smoothing techniques, such as Single Exponential Smoothing (SES)...

Persistent link: https://www.econbiz.de/10011454082

Extreme returns in emerging stock markets : evidence of a MAX effect in South Korea

Nartea, Gilbert V.; Wu, Ji; Liu, Hong Tao - In: Applied financial economics 24 (2014) 4/6, pp. 425-435

Persistent link: https://www.econbiz.de/10010401960

Did the economic and financial crises affect stock market sensitivity to macroeconomic risk factors? : evidence from Nigeria and South Africa

Ikoku, Alvan E.; Okany, Chukwunonso T. - In: International journal of business 19 (2014) 3, pp. 275-290

Persistent link: https://www.econbiz.de/10010402086

Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market

Al-Shboul, Mohammad; Anwar, Sajid - In: Economic modelling 37 (2014), pp. 451-463

Persistent link: https://www.econbiz.de/10010417631

Is illiquidity risk priced? : the case of the Polish medium-size emerging stock market

Olbryś, Joanna - In: Bank i kredyt 45 (2014) 6, pp. 513-535

Persistent link: https://www.econbiz.de/10010481215

Użyteczno´s´c stosowania modelu Famy i Frencha w okresach hossy i bessy na rynku akcji GPW w Warszawie

Czapkiewicz, Anna; Skalna, Iwona - In: Bank i kredyt 42 (2011) 3, pp. 61-80

Persistent link: https://www.econbiz.de/10009231585

Risk and return in the Chinese stock market : does equity return dispersion proxy risk?

Chen, Chun-Da; Demirer, Rıza; Jategaonkar, Shrikant P. - In: Pacific-Basin finance journal 33 (2015), pp. 23-37

Persistent link: https://www.econbiz.de/10011474042

Value premium and implied equity duration in the Japanese stock market

Fukuta, Yuichi; Yamane, Akiko - In: Journal of international financial markets, … 39 (2015), pp. 102-121

Persistent link: https://www.econbiz.de/10011475648

Liquidity and asset prices : an empirical investigation of the nordic stock markets

Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705

Persistent link: https://www.econbiz.de/10011408519

Pricing of the currency risk in the Canadian equity market

Al-Shboul, Mohammad; Anwar, Sajid - In: Research in international business and finance 30 (2014), pp. 173-194

Persistent link: https://www.econbiz.de/10010390268