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...

In studying the scale invariance of an empirical time series a twofold problem arises: it is necessary to test the series for self-similarity and, once passed such a test, the goal becomes to estimate the parameter H0 of self-similarity. The estimation is therefore correct only if the sequence...

I describe preliminary results for seasonal decomposition procedure using a modified Hodrick-Prescott (Leser) filter. The procedure is simpler to implement compared to two currently most popular seasonal decomposition procedures - X-11 filters developed by the U.S. Census Bureau and SEATS...

The variance profile is defined as the power mean of the spectral density function of a stationary stochastic process. It is a continuous and non-decreasing function of the power parameter, p, which returns the minimum of the spectrum (p → −∞), the interpolation error variance (harmonic...

The paper establishes the conditions under which the generalised least squares estimator of the regression parameters is equivalent to the weighted least squares estimator. The equivalence conditions have interesting applications in local polynomial regression and kernel smoothing. Specifically,...

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

This paper seeks to understand the long memory behaviour of global equity returns using novel methods from wavelet analysis. We implement the wavelet based multivariate long memory approach, which possibly is the first application of wavelet based multivariate long memory technique in finance...

This study investigates the long range dependence and correlation structures of some select stock markets. Using novel wavelet methods of long range dependence, we show presence of long memory in the stock returns of some emerging economies and the lack of it in developed markets of Europe and...

Abstract Given a risk outcome y over a rating system {R_i }_(i=1)^k for a portfolio, we show in this paper that the maximum likelihood estimates with monotonic constraints, when y is binary (the Bernoulli likelihood) or takes values in the interval 0≤y≤1 (the quasi-Bernoulli likelihood), are...

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...