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GAS Copula models on who's systemically important in South Africa: Banks or Insurers?
- Published in:
- Empirical Economics, 2020, v. 59, n. 4, p. 1573, doi. 10.1007/s00181-019-01695-4
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- Article
Dependence Structure and Time–Frequency Impact of Exchange Rates on Crude Oil and Stock Markets of BRICS Countries: Markov-Switching-Based Wavelet Analysis.
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- Journal of Risk & Financial Management, 2023, v. 16, n. 7, p. 319, doi. 10.3390/jrfm16070319
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- Article
Impacts of U.S. Stock Market Crash on South African Top Sector Indices, Volatility, and Market Linkages: Evidence of Copula-Based BEKK-GARCH Models.
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- International Journal of Financial Studies, 2023, v. 11, n. 2, p. 77, doi. 10.3390/ijfs11020077
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- Article
Dynamic Asymmetric Effect of Currency Risk Pricing of Exchange Rate on Equity Markets: A Regime-Switching Based C-Vine Copulas Method.
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- International Journal of Financial Studies, 2022, v. 10, n. 3, p. N.PAG, doi. 10.3390/ijfs10030072
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- Article
South African Banks' Cross-Border Systemic Risk Exposure: An Application of the GAS Copula Marginal Expected Shortfall.
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- International Journal of Financial Studies, 2022, v. 10, n. 1, p. 18, doi. 10.3390/ijfs10010018
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- Article
Assessing Market Risk in BRICS and Oil Markets: An Application of Markov Switching and Vine Copula.
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- International Journal of Financial Studies, 2021, v. 9, n. 2, p. 30, doi. 10.3390/ijfs9020030
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- Article
Modeling System Risk in the South African Insurance Sector: A Dynamic Mixture Copula Approach.
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- International Journal of Financial Studies, 2021, v. 9, n. 2, p. 29, doi. 10.3390/ijfs9020029
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- Article
SYSTEMIC RISK AND REAL ECONOMIC ACTIVITY: A SOUTH AFRICAN INSURANCE STRESS INDEX OF SYSTEMIC RISK.
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- Asian Academy of Management Journal of Accounting & Finance, 2022, v. 18, n. 1, p. 1, doi. 10.21315/aamjaf2022.18.1.8
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- Article
AN EMPIRICAL EVALUATION OF HEDGE FUND MANAGERIAL SKILLS USING BAYESIAN TECHNIQUES.
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- Asian Academy of Management Journal of Accounting & Finance, 2017, v. 13, n. 1, p. 63, doi. 10.21315/aamjaf2017.13.1.3
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- Article
PREDICTION OF STOCK MARKET DIRECTION: APPLICATION OF MACHINE LEARNING MODELS.
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- International Economics / Economia Internazionale, 2021, v. 74, n. 4, p. 499
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- Article