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The forecasting performances of volatility models in emerging stock markets : is a generalization really possible?

Iltuzer, Zeynep; Tas, Oktay - In: Journal of applied finance & banking 3 (2013) 2, pp. 49-73

In almost all stages of forecasting volatility, certain subjective decisions need to be made. Despite of an enormous …. In order to find out outperforming model in general not just in the contexts of studies, volatility models should be …, EWMA), GARCH family models (GARCH, GRJ-GARCH, GARCH, APARCH, NAGARCH, FIGARCH) and Stochastic Volatility model. The …

Persistent link: https://www.econbiz.de/10009743532

Predicting asset returns in the BRICS : the role of macroeconomic and fundamental predictors

Sousa, Ricardo M.; Vivian, Andrew; Wohar, Mark E. - In: International review of economics & finance : IREF 41 (2016), pp. 122-143

Persistent link: https://www.econbiz.de/10011624662

Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries

Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...

Persistent link: https://www.econbiz.de/10014307488

Forecasting Realized Volatility : Does Anything Beat Linear Models?

Branco, Rafael; Rubesam, Alexandre; Zevallos, Mauricio - 2022

volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a …

Persistent link: https://www.econbiz.de/10014076641

Foreign Exchange Risk and the Predictability of Carry Trade Returns

Cenedese, Gino - 2014

losses, which is consistent with the unwinding of the carry trade in times of high volatility. The decomposition of market …

Persistent link: https://www.econbiz.de/10013066169

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 …

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

Unemployment fluctuations and the predictability of currency returns

Nucera, Federico - 2015 - This version: August 2015

We investigate if unemployment fluctuations generate predictability in the cross-section of currency excess returns. To assess the predictability exerted by unemployment fluctuations, we sort currencies according to past growth in the unemployment rate. We find that an investment strategy which...

Persistent link: https://www.econbiz.de/10015408806

Aggregate Earnings and Expected Stock Returns in Emerging Markets

Demirtas, K. Ozgur - 2012

This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normalizing...

Persistent link: https://www.econbiz.de/10013115711

Country News Sentiment Factors Predict Forex Prices

Hafez, Peter - 2013

In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...

Persistent link: https://www.econbiz.de/10013081446

Forecasting returns with machine learning and optimizing global portfolios : evidence from the Korean and U.S. stock markets

Chun, Dohyun; Kang, Jongho; Kim, Jihun - In: Financial innovation : FIN 10 (2024), pp. 1-30

This study employs a variety of machine learning models and a wide range of economic and financial variables to enhance the forecasting accuracy of the Korean won-U.S. dollar (KRW/USD) exchange rate and the U.S. and Korean stock market returns. We construct international asset allocation...

Persistent link: https://www.econbiz.de/10015359391