amount of years to use in the estimation and which variation of the capital asset pricing beta provides the best results …? This research looks at the out of sample forecasting capabilities of three popular CAPM ex-post constant beta models from … estimation windows with the market beta in developing economies and longer nine year estimation windows with the adjusted beta in …

explanatory power over the crisis period.Novelty - There is no applied study on the verification of the volatility of …

This article identifies the best models for forecasting the volatility of daily exchange returns of developing … IGARCH model results in substantial gains in terms of the in-sample results and out-of-sample forecasting performance …

volatility …