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Samih Antoine Azar,Philip Karam
Pág. 172 - 180
The purpose of this paper is to estimate a parsimonious model of money demand. The model relates international crude oil prices to the US money stock with the addition of a valuation adjustment. The main conometric estimation procedure is the autore...
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Tafirei Mashamba,Rabson Magweva
AbstractOrientation: The behaviour of stock market return volatility and implications thereof in Southern African Development Committee (SADC).Research purpose: The main aim of this study was to examine leverage effects and volatility persisten...
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Pieter-Henk Boer,Elias Munapo,Martin Chanza,Issaah A. Mhlanga
AbstractOrientation: Exchange market pressure (EMP) is the selling pressure of domestic currency or excess demand needed for foreign currency.Research purpose: The purpose of this study was to analyse EMP using extreme value theory (EVT) and to...
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Retius Chifurira,Knowledge Chinhamu
AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that b...
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Zul - Amry
Pág. 96 - 102
This paper presents a Bayesian approach to find the Bayesian model for the point forecast of ARMA model under normal-gamma prior assumption with quadratic loss function in the form of mathematical expression. The conditional posterior predictive density ...
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