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
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...
Training Workshop on Financial Econometrics
ERSA is pleased to announce a three day training workshop on Financ...
Arbitrage, Cointegration and Efficiency in Financial Markets in the Presence of Financi...
The authors gratefully acknowledge the assistance of Genesis Analyt...
Working Paper

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