Similar Search Results

Forecasting Volatility in Developing Countries' Nominal Exchange Returns

Antonakakis, Nikolaos - 2014

This article identifies the best models for forecasting the volatility of daily exchange returns of developing countries. An emerging consensus in the recent literature focusing on industrialized countries has noted the superior performance of the Fractionally Integrated Generalized...

Persistent link: https://www.econbiz.de/10013058579

Predicting Asset Returns in Developed and Emerging Markets

Sharma, Ankit - 2012

This paper investigates the predictability of asset prices among developed and emerging markets. Weekly and monthly stock market indices from developed and emerging market economies are analysed to check the validity of weak-form of Efficient Market Hypothesis (EMH) using various empirical...

Persistent link: https://www.econbiz.de/10013101494

Climate risks and prediction of sectoral REITs volatility : international evidence

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Bouri, Elie - 2024

Persistent link: https://www.econbiz.de/10014635867

Predictability of stock market returns : new evidence from developed and developing countries

Li, Xiyang; Cheng, Xiaoyue; Li, Bin; Singh, Tarlok; Shi, Kan - In: Global finance journal 54 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013470087

Economic growth and the return to capital in developing economies

Robertson, Peter E. - 1998

Persistent link: https://www.econbiz.de/10000680362

A new partial-segmentation approach to modeling international stock returns

Karolyi, G. Andrew; Wu, Ying - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 2, pp. 507-546

Persistent link: https://www.econbiz.de/10011929486

Do IMF forecasts respect Okun's law? : evidence for advanced and developing economies

An, Zidong; Ball, Laurence M.; Jalles, João Tovar; … - In: International journal of forecasting 35 (2019) 3, pp. 1131-1142

Persistent link: https://www.econbiz.de/10012305236

Studies on equity market behavior : volatility, predictability and integration

Marathe, Achla - 1994

Persistent link: https://www.econbiz.de/10000916122

Predicting Stock Market Returns and Volatility with Investor Sentiment : Evidence from Eight Developed Countries

Ho, Jerry C. - 2013

We test the predictive ability of investor sentiment on the return and volatility at the aggregate market level in the U.S., four largest European countries and three Asia-Pacific countries. We find that in the U.S., France and Italy periods of high consumer confidence levels are followed by low...

Persistent link: https://www.econbiz.de/10013080587

A Practitioner’s Guide to the CAPM : An Empirical Study

French, Jordan - 2018

The most popular method of calculating asset prices is the capital asset pricing model (CAPM). What is the appropriate … 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 …

Persistent link: https://www.econbiz.de/10012907773