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Afees A. Salisu, Kazeem O. Isah, Alberto Assandri
Pág. 255 - 283
This study examines probable dynamic spillover transmissions between the Nigerian stock and money markets using the multivariate volatility framework that simultaneously accounts for both returns and shock spillovers. Based on relevant pre-tests, the VAR...
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Samih Antoine Azar,Philip Karam
Pág. 172 - 180
The purpose of this paper is to estimate a parsimonious model of money demand. The model relates international crude oil prices to the US money stock with the addition of a valuation adjustment. The main conometric estimation procedure is the autore...
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Tafirei Mashamba,Rabson Magweva
AbstractOrientation: The behaviour of stock market return volatility and implications thereof in Southern African Development Committee (SADC).Research purpose: The main aim of this study was to examine leverage effects and volatility persisten...
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Pieter-Henk Boer,Elias Munapo,Martin Chanza,Issaah A. Mhlanga
AbstractOrientation: Exchange market pressure (EMP) is the selling pressure of domestic currency or excess demand needed for foreign currency.Research purpose: The purpose of this study was to analyse EMP using extreme value theory (EVT) and to...
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Retius Chifurira,Knowledge Chinhamu
AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that b...
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