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Quantifying foreign exchange risk in the selected listed sectors of the Johannesburg Stock Exchange : an SV-EVT pairwise copula approach
Eita, Joel Hinaunye; Djemo, Charles Raoul Tchuinkam - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-29
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets with some selected listed stock indices. We...
Persistent link: https://www.econbiz.de/10013252765
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Test of herding behaviour in the Johannesburg Stock Exchange : application of quantile regression model
Ababio, Kofi A.; Muteba Mwamba, John - In: Journal of economic and financial sciences 10 (2017) 3, pp. 457-474
Persistent link: https://www.econbiz.de/10011795960
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Forecasting the equity risk premium : the role of technical indicators
Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - In: Management science : journal of the Institute for … 60 (2014) 7, pp. 1772-1791
Persistent link: https://www.econbiz.de/10010399441
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The performance of linear versus non-linear models in forecasting returns on the Johannesburg Stock Exchange
Gysen, Michael van; Huang, Chun-sung; Kruger, Ryan - In: International business and economics research journal 12 (2013) 8, pp. 985-994
Persistent link: https://www.econbiz.de/10009792062
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The impact of highter order moments added to the multiscale Carhart model for different investment periods
Trimech, Anyssa - In: International journal of decision sciences, risk and … 5 (2013/14) 3, pp. 263-276
Persistent link: https://www.econbiz.de/10011347007
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Assessing asset pricing anomalies
Groot, Wilma de - 2017
Persistent link: https://www.econbiz.de/10011862366
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Financial aspects of business cycles : an analysis of nine OECD countries
Krainer, Robert E. - In: Empirical issues in raising equity capital, (pp. 279-316). 1996
Persistent link: https://www.econbiz.de/10001320959
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Equity returns and business cycles in small open economies
Jahan-Parvar, Mohammad R.; Liu, Xuan; Rothman, Philip - In: Journal of money, credit and banking : JMCB 45 (2013) 6, pp. 1117-1146
Persistent link: https://www.econbiz.de/10010197527
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The dynamic relations between market returns and two types of risk with business cycles
Jiang, Xiaoquan; Lee, Bong-soo - In: The financial review : the official publication of the … 49 (2014) 3, pp. 593-618
Persistent link: https://www.econbiz.de/10010401371
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Momentum strategy and credit risk
Lu, Su-lien; Lee, Kuo-jung; Yu, Chia-chang - In: Applied financial economics 24 (2014) 10/12, pp. 753-762
Persistent link: https://www.econbiz.de/10010402585