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Maashele Kholofelo Metwane and Daniel Maposa
Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This paper uses EVT methods to model the five-year daily all-sha...
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Benjamin Mudiangombe Mudiangombe and John Weirstrass Muteba Mwamba
This paper examines the effects of the Standard and Poor?s 500 (SP500) stock index crash during the global financial crisis and the COVID-19 pandemic periods on the South African top sector indices (basic materials, consumer goods, consumer services, fin...
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Joel Hinaunye Eita and Charles Raoul Tchuinkam Djemo
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 wit...
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Katleho Makatjane and Ntebogang Moroke
During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alt...
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John Weirstrass Muteba Mwamba and Ehounou Serge Eloge Florentin Angaman
In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African insurance sector. We also employ the generalized autoregressive score model (GAS) to capture the dynamic asymmetric dependence between ...
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Ronel J. Cassim,Matthys J. Swanepoel
AbstractOrientation: The effective and timely bankruptcy prediction is crucial to the survival of companies. In order to attain a desired result an effective bankruptcy prediction tool needs to be applied within a South African context.Research purpose: ...
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Lize-Mari van Wyk,Nicolene Wesson
AbstractOrientation: Executive remuneration remains a controversial topic. A major concern is the perceived misalignment of executive remuneration with company performance. Key performance indicators (KPIs) represent the strategic focus areas that drive ...
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Jan A. Dreyer,Suzette Viviers,Nadia Mans-Kemp
AbstractPurpose: Broad-Based Black Economic Empowerment (B-BBEE) legislation was introduced to promote the economic participation of black people in the South African economy. Some scholars have argued that, whilst it is important to empower black people...
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Oluwamayowa O. Iredele,Tankiso Moloi
AbstractOrientation: The emergence and adoption of integrated reporting (IR) opens up a new agenda for improving the level of environmental disclosures, especially for listed companies. This study explores the environmental information disclosed by minin...
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Mattheus T. Mey,Christiaan Lamprecht
AbstractOrientation: The voluntary disclosure of non-Generally Accepted Accounting Principles (non-GAAP) earnings may lack decision-usefulness if not faithfully represented or comparable. Commonly accepted as being well defined, earnings before interest,...
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