Article history: This paper explores whether the relevance of a conditional multifacReceived 12 July 2012 tor model and autocorrelation in predicting the Russian aggregate Received in revised form 2 October 2012 stock return fluctuates over time. The source of return predictability is Accepted 16 December 2012 shown to vary considerably with information flow. In general, Available online 22 Dec...

This article applies the Wakeby distribution (WAD) with high-order L-moments estimates (LH-ME) to annual extreme rainfall data obtained from 99 gauge stations in Thailand. The objectives of this study investigate obtain appropriate quantile and return levels for several periods, 2, 5, 10, 25 50 years. 95% confidence intervals quantiles determined WAD are derived using bootstrap technique. Isopl...

We use 70 years of international data from the major bond markets to examine return predictability through in-sample and out-of-sample tests. Our results reveal economically strong statistically significant predictability. This finding is robust over time periods, including 30 data, prolonged periods rising or falling rates, a dataset nine additional countries. Furthermore, are not explained by...

The purpose of this study is to test the validity CAPM in Amman Stock Exchange (ASE) during period (2010 – 2014), which was divided into three sub periods. We used monthly returns 60 stocks Jordanian companies listed ASE. Black, Jensen and Scholes (1972) Fama MacBeth (1973) methods were different sub-periods. analysis results showed that higher risk (beta) not associated with levels return, vio...

The volume and duration of groundwater discharge following extreme winter recharge events in permeable catchments can often be more disruptive than the peak discharge. An estimation procedure for annual maxima flood series in permeable catchments is extended to annual flood volumes for different durations. Growth factors for durations of 1 to 30 days and return periods of up to 250 years are de...

nowadays, increasing of greenhouse gases emissionscussed by human activities is the main factor of climate change. global warming has also changed the frequency of extreme rainfall events in many areas. this research presents an analysis of how the change in the frequency of maximum daily rainfall under three emission scenarios in 2021-2040 periods in the khorasan-razavi province. the maximum d...

Understanding watershed responses to extreme events is important for assessing potential impacts of floods, droughts, episodic pollution, and other external driving variables on watershed resources. In this study, we combine trend and frequency analyses with paired watershed techniques to evaluate the long-term highand low-flow data from Coweeta Hydrologic Laboratory in North Carolina, USA in a...