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Assessing market risk in BRICS and oil markets : an application of Markov switching and vine copula

Muteba Mwamba, John; Mwambi, Sutene Mwambetania - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-22

This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel...

Persistent link: https://www.econbiz.de/10012545199

Exchange rate risk and international equity portfolio diversification : a South African investor's perspective

Djemo, Charles Raoul Tchuinkam; Muteba Mwamba, John; … - In: African finance journal 23 (2021) 2, pp. 36-49

Persistent link: https://www.econbiz.de/10013187355

Predicting foreign exchange rate movements : an application of the ensemble method

Djemo, Charles Raoul Tchuinkam; Eita, Joel Hinaunye; … - In: Review of development finance 11 (2021) 2, pp. 58-70

Persistent link: https://www.econbiz.de/10013187392

The effects of sovereign ratings on financial stability in South Africa

Takawira, Oliver; Muteba Mwamba, John - In: African journal of business and economic research : AJBER 16 (2021) 1, pp. 27-65

Persistent link: https://www.econbiz.de/10012815235

GAS Copula models on who's systemically important in South Africa : banks or insurers?

Manguzvane, Mathias Mandla; Muteba Mwamba, John - In: Empirical economics : a journal of the Institute for … 59 (2020) 4, pp. 1573-1604

Persistent link: https://www.econbiz.de/10012298826

Herding behaviour in financial markets : empirical evidence from the Johannesburg stock exchange

Ababio, Kofi A.; Muteba Mwamba, John - In: African finance journal 19 (2017) 1, pp. 23-44

Persistent link: https://www.econbiz.de/10011720630

Do Basel III higher common equity capital requirements matter for bank risk-taking behaviour? : lessons from South Africa

Adesina, Kolade Sunday; Muteba Mwamba, John - In: African development review 28 (2016) 3, pp. 319-331

Persistent link: https://www.econbiz.de/10011723383

Performance evaluation of equity unit trusts in South Africa

Thobejane, Bonolo Maggie; Simo-Kengne, Beatrice D.; … - In: Managerial finance 43 (2017) 3, pp. 379-402

Persistent link: https://www.econbiz.de/10011691447

The calibration of market risk measures during period of economic downturn : market risks and measures

Muteba Mwamba, John - In: Risk management, strategic thinking and leadership in …, (pp. 89-102). 2017

Persistent link: https://www.econbiz.de/10011597231

Computation of operational value at risk using the severity distribution model based on Bayesian method with Gibbs sampler

Muteba Mwamba, John - In: Risk management, strategic thinking and leadership in …, (pp. 103-121). 2017

Persistent link: https://www.econbiz.de/10011597244