Forecasting stock market returns is a challenging task due to the complex nature of the data.
This study develops a generic methodology to predict daily stock price movements by …

This paper examines the impact of global financial market uncertainty and domestic
macroeconomic factors on stock–bond correlation in emerging markets. In particular, by …

This paper examines the co-movement dynamics of ten emerging and four frontier
government bond markets with the US market and the impact of macroeconomic factors and …

This study examines the financial market integration of emerging markets into international
financial markets with regards to the real interest rate parity hypothesis. We focus on …

An understanding of volatility and co-movements in financial markets is important for
portfolio allocation and risk management practices. The current financial crisis caused a …

We investigate the extent to which emerging stock market integration affects the joint
behavior of stock and bond returns using a two-stage semi-parametric approach. Using a …

We estimate ex post returns to emerging market debt by combining secondary-market prices
with observed flows based on World Bank data. From 1970-2000, returns averaged 9% per …

We investigate correlation dynamics and diversification properties of US dollar-denominated
debt issued by governments of frontier markets. Our analysis is on the aggregate, regional …

To analyze effects of imperfect property rights on economic growth, we consider economies
where some fraction of capital can be owned only by local oligarchs, whose status is subject …

The rewards of carefully chosen alternative investments can be great. But many investors
don't know enough about unfamiliar investments to make wise choices. For that reason …