Browsing Research Articles (Economics) by Subject "In-sample tests"

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Macroeconomic variables and South African stock return predictability

Gupta, Rangan; Modise, Mampho P. (Elsevier, 2013-01)

We examine both in-sample and out-of-sample predictability of South African stock return using macroeconomic variables. We base our analysis on a predictive regression framework, using monthly data covering the in-sample ...
South African stock return predictability in the context data mining : the role of financial variables and international stock returns

Gupta, Rangan; Modise, Mampho P. (Elsevier, 2012-03)

In this paper, we examine the predictive ability, both in-sample and the out-of-sample, for South African stock returns using a number of financial variables, based on monthly data with an in-sample period covering 1990:01 ...
Structural breaks and GARCH models of stock return volatility : the case of South Africa

Babikir, Ali; Gupta, Rangan; Mwabutwa, Chance; Owusu-Sekyere, Emmanuel (Elsevier, 2012-11)

This paper investigates the empirical relevance of structural breaks in forecasting stock return volatility using both in-sample and out-of-sample tests applied to daily returns of the Johannesburg Stock Exchange (JSE) All ...

Now showing items 1-3 of 3

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