Carvalhal, Andre; Mendes, Beatriz Vaz de Melo - In: Emerging Markets Finance and Trade 44 (2008) 1, pp. 21-40
This paper analyzes the forecast performance of emerging market stock returns using standard autoregressive moving average (ARMA) and more elaborated autoregressive conditional heteroskedasticity (ARCH) models. Our results indicate that the ARMA and ARCH specifications generally outperform...
