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    Semi-Markov credit risk modeling for a portfolio of consumer loans in the Kenyan banking industry 

    Othieno, Ferdinand; Wagacha, Anthony
    Based on simulations of implied values for credit worthiness over a period of 5 years for 1000 consumers, we establish a case for the semi-markov models as a proxy for internal credit risk models for a portfolio of consumer ...
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    Return volatility and equity pricing: a frontier market perspective 

    Othieno, Ferdinand; Chege, Theuri; Kodongo, Odongo
    Using both monthly and weekly return series between 1999:01 and 2013:12, we investigate the dynamics of stock returns and volatility in a Kenya’s fledgling equity market – the Nairobi Securities Exchange. Both the GARCH-in-mean ...
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    Return volatility and the pricing of equities at the Nairobi Securities Exchange 

    Chege, Theuri; Othieno, Ferdinand; Kodongo, Odongo
    The study is an empirical test of asset pricing theory, which postulates that volatility is priced if a positive relationship exists between asset returns and their volatility. The asset under study is the Nairobi ...
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    Examining international parity relations between Kenya and Uganda 

    Othieno, Ferdinand
    This paper analyses empirically the purchasing power parity, the uncovered interest parity and the real interest parity (Fisher parity) between Kenya and Uganda. The paper first tests the three parity relations using ...

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    Othieno, Ferdinand (4)
    Chege, Theuri (2)Kodongo, Odongo (2)Wagacha, Anthony (1)SubjectNairobi Securities Exchange (2)Central Bank of Kenya (1)cointegrated var (1)common currency (1)East African community (1)equity returns (1)GARCH (1)markets (1)pricing (1)purchasing power parity (1)... View MoreHas File(s)Yes (3)No (1)

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