JEL code: C58

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...
Published: 24 March 2022
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...
Published: 8 February 2022
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...
Published: 14 November 2019
Working Paper
Macroeconomic and Financial Modelling for Economic Policy
The 7th Annual Monetary Economics workshop will be dedicated to the...
Event: 28 January 2013
Published: 9 September 2019
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...
Published: 1 August 2017
Working Paper
Modelling Stock Return Volatility Dynamics in Selected African Markets
This paper examines whether accounting for structural changes in th...
Published: 21 January 2014
Working Paper
ERSA Training Workshop - Financial Econometrics II
ERSA is pleased to announce a three day training workshop on Financ...
Event: 7 April 2009
Published: 27 September 2009
Workshop
Training Workshop on Financial Econometrics
ERSA is pleased to announce a three day training workshop on Financ...
Event: 20 January 2009
Published: 27 September 2009
Workshop