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Nagmi Moftah Aimer(1), Abdulmula Albashir Lusta(2), (1) Department of Economics, Higher Institute of Marine Sciences Techniques, Sabratha, Libya (2) Department of E-commerce, Faculty of Economics and Political Science, Tripoli University, Libya
Pág. 200 - 215
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Carl Hope Korkpoe,Nathaniel Howard
Pág. 69 - 79
We adopt a granular approach to estimating the risk of equity returns in sub-Saharan African frontier equity markets under the assumption that, returns are influenced by developments in the underlying economy. Four countries were studied ? Botswana, Ghan...
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Jieting Chen and Yuichiro Kawaguchi
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a per...
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Mishelle Doorasamy,Prince Kwasi Sarpong
Pág. 93 - 100
Peters (1994) proposed the fractal market hypothesis (FMH) as an alternative to the efficient market hypothesis, following his criticism of the EMH. In this study, we analyse whether the fractal nature of a financial market determines its riskiness and d...
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Wen-Chung Hsu and Hsiang-Tai Lee
This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A...
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Ritika Jaiswal,Rashmi Uchil
Pág. 144 - 150
This study incorporates the regime switching framework to investigate the hedge and safe haven property of gold futures against the stock and bond market movements. The Markov-Switching Vector Autoregression (MS-VAR) model is adopted, which splits the wh...
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Ozge Kandemir Kocaaslan
Pág. 503 - 507
In this paper, we investigate the nonlinearity and nonstationarity of Turkish output series applying a Markov regime switching augmented Dickey Fuller unit root test. We document that the output series are characterized by a two-regime Markov switching u...
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Pierre-Julien Trombe, Pierre Pinson and Henrik Madsen
Accurate wind power forecasts highly contribute to the integration of wind power into power systems. The focus of the present study is on large-scale offshore wind farms and the complexity of generating accurate probabilistic forecasts of wind power fluc...
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Mark Holmes
Pág. pp. 65 - 81
This paper tests for long-run output convergence between a sample of eight
Latin American countries and over the study period 1900-2003. The key
contribution of this paper is in terms of the econometric methodology where
non-stationarity of log real per ...
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