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The determinants of the Harare Stock Exchange (HSE) market capitalisation

Ilmolelian, Peter - 2005

to mobilise capital and diversify risk, the study findings suggest that share price and the exchange rate are the most …

Persistent link: https://www.econbiz.de/10015216234

New methods of estimating stochastic volatility and the stock return

Alghalith, Moawia - 2010

We present a new method of estimating the asset stochastic volatility and return. In doing so, we overcome some of the limitations of the existing random walk models, such as the GARCH/ARCH models.

Persistent link: https://www.econbiz.de/10015220178

When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models

Prono, Todd - 2011

A new method is proposed for estimating linear triangular models, where identification results from the structural errors following a bivariate and diagonal GARCH(1,1) process. The associated estimator is a GMM estimator shown to have the usual √T-asymptotics. A Monte Carlo study of the...

Persistent link: https://www.econbiz.de/10015228633

Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate

Pincheira, Pablo; Jarsun, Nabil - 2020

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

Persistent link: https://www.econbiz.de/10015229382

"Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio"

Théoret, Raymond; Racicot, François-Éric - 2010

In this paper, we aim at forecasting the stochastic volatility of key financial market variables with the Kalman filter using stochastic models developed by Taylor (1986,1994) and Nelson (1990). First, we compare a stochastic volatility model relying on the Kalman filter to the conditional...

Persistent link: https://www.econbiz.de/10015230085

Using sentiment surveys to predict GDP growth and stock returns

Guzman, Giselle C. - 2008

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10015230635

Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates

Rossi, Francesco - 2011

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U ….K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the … behavior of each component of total risk, in their correlation patterns and thus in their contribution to aggregate risk …

Persistent link: https://www.econbiz.de/10015231990

Using sentiment to predict GDP growth and stock returns

Guzman, Giselle C. - 2007

Persistent link: https://www.econbiz.de/10015233041

Parametrix approximations for non constant coefficient parabolic PDEs

Foschi, Paolo; Pieressa, Luca; Polidoro, Sergio - 2008

Closed form approximations to the fundamental solution of parabolic PDEs is considered. The approach consists on approximations based on a parametrix series expansion. The approximation error can be bounded by a gaussian function and it is of an order of t^2. These explicit expressions have...

Persistent link: https://www.econbiz.de/10015256216

Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues-

MESTRE, Roman; TERRAZA, Michel - 2017

-frequency instabilities of betas. The hypothesis of heterogeneity of agents has an impact on systematic risk estimations and need to be …

Persistent link: https://www.econbiz.de/10015260078