C58 | Economic Research Southern Africa

JEL code: C58

Financial Econometrics

The bond market impact of the South African Reserve Bank bond purchase programme

We use a unique dataset comprising over a million trades and quotes...

Roy Havemann, Rossouw van Jaarsveld, Henk Janse van Vuuren, Daan Steenkamp

Working Paper

Contagion across financial markets during COVID-19: A look at volatility spillovers bet...

The onset of the novel coronavirus pandemic (COVID-19) and previous...

Reneé van Eyden, Goodness C. Aye, Chevaughn van der Westhuizen

Working Paper

A financial stress index for South Africa: A time-varying correlation approach

This paper develops a new index of financial market stress for Sout...

Theshne Kisten

Working Paper

Macroeconomic and Financial Modelling for Economic Policy

The 7th Annual Monetary Economics workshop will be dedicated to the...

University of Pretoria

Workshop

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

This paper highlights the shortfalls of Modern Portfolio Theory (MP...

Vsevolod I. Gorlach

Working Paper

Modelling Stock Return Volatility Dynamics in Selected African Markets

This paper examines whether accounting for structural changes in th...

Ferdi Botha, Daniel King

Working Paper

ERSA Training Workshop - Financial Econometrics II

ERSA is pleased to announce a three day training workshop on Financ...

Workshop

Training Workshop on Financial Econometrics

ERSA is pleased to announce a three day training workshop on Financ...

ERSA

Workshop

Arbitrage, Cointegration and Efficiency in Financial Markets in the Presence of Financi...

The authors gratefully acknowledge the assistance of Genesis Analyt...

Working Paper