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An Empirical Examination of Stability, Predictability, and Volatility of Middle Eastern and African Emerging Stock Markets

Haque, Mahfuzul; Hassan, M. Kabir; Maroney, Neal; … - In: Review of Middle East Economics and Finance 2 (2004) 1, pp. 2-2

This paper examines the stability, predictability, volatility, time varying risk premiums and persistence of shocks to … volatility in the ten Middle Eastern and African (ME&A) emerging stock markets. Although the majority of ME&A markets only … issue of predictability in the ME&A emerging markets, three different tests have been employed to draw conclusions. It was …

Persistent link: https://www.econbiz.de/10005246032

Modeling time-varying volatility and expected returns : evidence from the GCC and MENA regions

Janabi, Mazin A. M. al; Hatemi-J, Abdulnasser; … - In: Emerging markets finance & trade : a journal of the … 46 (2010) 5, pp. 39-47

Persistent link: https://www.econbiz.de/10009238997

Bond variance risk premia

Mueller, Philippe; Vedolin, Andrea; Yen, Yu-min - 2012

Persistent link: https://www.econbiz.de/10009552228

House prices, expectations, and time-varying fundamentals

Gelain, Paolo; Lansing, Kevin J. - In: Journal of empirical finance 29 (2014), pp. 3-25

Persistent link: https://www.econbiz.de/10011300508

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098