Similar Search Results

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

Ilmolelian, Peter - 2005

of the paper outlines the theory behind market capitalisation, the development of of the general econometric model and …

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 …

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

betas from the CAPM. These market beta estimates are found to be statistically distinct from their OLS counterparts and to …

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

-value theory for exchange rate determination and on the strong co-movement displayed by some commodity prices. The Chilean economy …

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 volatility estimated with the GARCH model. We apply our models to Canadian …

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...

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

The Beta coefficient theorized by the CAPM is estimated by the Market Line. By hypothesis, the Beta is stable over time … but empirical studies on it volatility don't confirm this fact. One of them is related to with agent heterogeneity …

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