A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models
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Cited by:
- Bonga-Bonga, Lumengo, 2018.
"Uncovering equity market contagion among BRICS countries: An application of the multivariate GARCH model,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 36-44.
- Bonga-Bonga, Lumengo, 2015. "Uncovering equity market contagion among BRICS countries: an application of the multivariate GARCH model," MPRA Paper 66262, University Library of Munich, Germany.
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More about this item
Keywords
stock returns; emerging markets; ARIMAX; Kalman-filter; Non-parametric;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G1 - Financial Economics - - General Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2015-02-28 (Corporate Finance)
- NEP-FOR-2015-02-28 (Forecasting)
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