Search Results - person:"Venter, J. H."

Pricing options using expected profit and loss measures

Venter, J. H.; Jongh, Pieter Juriaan de - In: The journal of investment strategies 11 (2022) 4, pp. 1-29

Persistent link: https://www.econbiz.de/10014335818

Portfolio allocation based on expected profit and loss measures

Venter, J. H.; Jongh, Pieter Juriaan de - In: The journal of investment strategies 9 (2020) 4, pp. 19-60

Persistent link: https://www.econbiz.de/10012598974

Combining scenario and historical data in the loss distribution approach : a new procedure that incorporates measures of agreement between scenarios and historical data

Jongh, P. J. de; De Wet, Tertius; Raubenheimer, H.; … - In: The journal of operational risk 10 (2015) 1, pp. 45-76

Persistent link: https://www.econbiz.de/10011298876

Profitability of short term reversal strategies on the Johannesburg stock exchange

Terblanche, S. E.; Venter, J. H. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 39 (2015) 3, pp. 67-92

Persistent link: https://www.econbiz.de/10011569477

Extended stochastic volatility models incorporating realised measures

Venter, J.H.; de Jongh, P.J. - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 687-707

Extended stochastic volatility models are studied which use the daily returns as well as the volatility information in intraday price data summarised in terms of a number of realised measures. These extended models treat the logarithm of daily volatility as a latent process with autoregressive...

Persistent link: https://www.econbiz.de/10010871394

Structural default models applied to South African banks

Venter, J. H.; Styger, Paul - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 32 (2008) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10003750844

Structural default models applied to South African banks

Venter, J. H.; Styger, P. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 32 (2008) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10009952224

A LIMIT THEOREM FOR QUADRATIC FORMS AND ITS APPLICATIONS

Wu, Wei Biao; Shao, Xiaofeng; Anderson, T.W.; Andrews, … - In: Econometric theory 23 (2007) 5, pp. 930-951

Persistent link: https://www.econbiz.de/10007762700

Identifying multivariate discordant observations: a computer-intensive approach

Viljoen, H.; Venter, J. H. - In: Computational Statistics & Data Analysis 40 (2002) 1, pp. 159-172

Persistent link: https://www.econbiz.de/10005172798

Identifying multiple discordant observations: a computer intensive approach

Venter, J. H.; Viljoen, H. - In: Computational Statistics & Data Analysis 29 (1999) 3, pp. 261-273

Persistent link: https://www.econbiz.de/10005172761