The Macaulay duration is a highly successful tool for measuring and managing interest rate risk. However, it employs restrictive assumptions which constrain its usefulness in a rapidly evolving market. The Basel II implementation and ongoing accounting standard reassessments highlight the...

This paper expands and augments the results of the paper by <link rid="b25">Jefferis and Thupayagale</link>) and tests the efficiency of the South African stock market with Wavelet and Markov Switching Regime analyses of selected shares and the a ALSI 40 data. The Wavelet analysis indicated that most of the individual...