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C14

Semiparametric and Nonparametric Methods: General

Capturing the Black Swan: Scenario-Based Asset Allocation with Fat Tails and Non-Linear Correlations

Vsevolod I Gorlach
This paper highlights the shortfalls of Modern Portfolio Theory (MPT). Amongst other flaws, MPT assumes that returns are normally distributed; that correlations are linear; and that risks are symmetrical. We propose a dynamic and flexible scenario-based approach to portfolio selection that...
Aug 2017
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Qualitative Guidance and Predictability of Monetary Policy in South Africa

Alain Kabundi and NtuthukoTsokodibane
With the adoption of the in‡ation targeting (IT) regime in 2000, the South African Reserve Bank (SARB) became independent. With the independence of monetary policy comes accountability to the public at large, which in turn leads to transparency in the conduct of monetary policy. The SARB has come a...
Aug 2016
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Assessing Banking Sector Competition in Zimbabwe Using a Panzar-Rosse Approach

Sanderson Abel & Pierre Le Roux
This paper assesses the level of competition in Zimbabwe’s banking sector using the Panzar-Rosse H-statistic. The H-Statistic has been assessed, using the total revenues regression equation, and applying the panel least square regression model with fixed effects. The H-statistics is estimated at 0...
Apr 2016
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Climate change and economic growth in sub-Sahara Africa: A nonparametric evidence

Paul Alagidede and George Adu
Climate change has been classed as the greatest and urgent global issue facing humanity today, yet the empirics of the debate remain largely muted, more so with reference to sub-Saharan Africa (SSA), where the impact of warming global temperatures are forecasted to have the worst impact. This paper...
Sep 2014
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The Impact of the Global Financial Crisis on Efficiency and Productivity of the Banking System in South Africa

Andrew Maredza and Sylvanus Ikhide
South Africa‘s financial sector is believed to have weathered the contagion and catastrophic effects of the 2008 world wide financial crisis partly on account of a sound regulatory framework and solid macroeconomic policies. In this paper, we seek to measure efficiency and productivity changes...
Jan 2013
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Towards a Measure of Core Inflation using Singular Spectrum Analysis

Franz Ruch and Dirk Besteri
This paper constructs a number of possible core measures of annual inflation using Singular Spectrum Analysis (SSA). Annual inflation is decomposed into its trend, oscillating and noise components in order to develop an understanding of the trend and cyclicality in South African headline inflation...
Nov 2011
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