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Global uncertainty and potential shelters : gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets
Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - In: Financial innovation : FIN 10 (2024), pp. 1-23
the multivariate factor stochastic volatility (MSV) model, which is extremely efcient for fnancial market analysis and …
Persistent link: https://www.econbiz.de/10014541628
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When the US stock market becomes extreme?
Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225
Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....
Persistent link: https://www.econbiz.de/10010399734
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Volatility transmission between stock market and foreign exchange returns : evidence from Botswana, Kenya and South Africa
Braha, Emmanuel Anoruo Habtu - In: African journal of business and economic research : AJBER 6 (2011) 2/3, pp. 73-91
Persistent link: https://www.econbiz.de/10009707921
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The effects of oil price volatility on South African stock market returns
Musampa, Kongolo; Eita, Joel Hinaunye; Meniago, Christelle - In: Economies : open access journal 12 (2024) 1, pp. 1-20
The aim of this study is to assess the response of the South African stock market returns to oil price volatility … EGARCH process is the best univariate model to capture oil price volatility. Interestingly, this study also revealed that the … the impact of higher oil prices, while in the long-term, policies aimed at reducing the volatility in oil prices would be …
Persistent link: https://www.econbiz.de/10014480171
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Long memory in Southern African stock markets
Jefferis, Keith R.; Thupayagale, Pako - In: The South African journal of economics 76 (2008) 3, pp. 384-398
Persistent link: https://www.econbiz.de/10003780006
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The relationship between international equity market behaviour and the JSE
Samouilhan, N. L. - In: The South African journal of economics 74 (2006) 2, pp. 248-260
Persistent link: https://www.econbiz.de/10003348650
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Modelling stock returns in Africa's emerging equity markets
Alagidede, Paul; Panagiōtidēs, Theodōros - In: International review of financial analysis 18 (2009) 1/2, pp. 1-11
Persistent link: https://www.econbiz.de/10003850289
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Dynamic returns linkages and volatility transmission between South African and world major stock markets
Chinzara, Z.; Aziakpono, M. J. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 33 (2009) 3, pp. 69-94
Persistent link: https://www.econbiz.de/10003925654
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Volatility persistence, long memory and structural breaks in an emerging equity market : the case of South Africa
McMillan, David G.; Thupayagale, Pako - In: Asian African journal of economics and econometrics 10 (2010) 2, pp. 297-310
Persistent link: https://www.econbiz.de/10009007476
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Financial liberalization, structural breaks and stock market volatility : evidence from South Africa
Ndako, Umar Bida - In: Applied financial economics 22 (2012) 13/15, pp. 1259-1273
Persistent link: https://www.econbiz.de/10009625377