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Details about John Weirstrass Muteba Mwamba

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Homepage:http://www.analyticsresearch.net
Phone:+27115594371
Workplace:College of Business and Economics, University of Johannesburg, (more information at EDIRC)

Access statistics for papers by John Weirstrass Muteba Mwamba.

Last updated 2021-02-06. Update your information in the RePEc Author Service.

Short-id: pmu298


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Working Papers

2020

  1. An empirical analysis of systemic and macroeconomic risk in South Africa: an application of the quantile regression
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Sentiment, emotions and stock market predictability in developed and emerging markets
    GLO Discussion Paper Series, Global Labor Organization (GLO) Downloads View citations (2)

2019

  1. Dependence Structure of Insurance Credit Default Swaps
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Empirical evidence of systemic tail risk premium in the Johannesburg Stock Exchange
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Exchange Rate Risk and International Equity Portfolio Diversification: A South African Investor’s Perspective
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Modelling Asset Correlations of Revolving Loan Defaults in South Africa
    MPRA Paper, University Library of Munich, Germany Downloads

2017

  1. Modelling Systemic Risk in the South African Banking Sector Using CoVar
    Working Papers, Economic Research Southern Africa Downloads View citations (1)
    See also Journal Article in International Review of Applied Economics (2019)

2016

  1. Are Housing Price Cycles Asymmetric? Evidence from the US States and Metropolitan Areas
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  2. The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Finance Research Letters (2018)

2015

  1. A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  2. Dynamic Comovements between Housing and Oil Markets in the US over 1859 to 2013: A Note
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Atlantic Economic Journal (2016)
  3. Energy Demand in South Africa: Is it Asymmetric?
    Working Papers, University of Pretoria, Department of Economics
  4. Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  5. The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics

2014

  1. Another reason why the efficient market hypothesis is fuzzy
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Financial Tail Risks and the Shapes of the Extreme Value Distribution: A Comparison between Conventional and Sharia-Compliant Stock Indexes
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  3. Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Savings and economic growth: A historical analysis of the relationship between savings and economic growth in the Cape Colony economy, 1850 - 1909
    Working Papers, Economic Research Southern Africa Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads
  5. The impact of exchange rate volatility on international trade between South Africa, China and USA: The case of the manufacturing sector
    MPRA Paper, University Library of Munich, Germany Downloads
  6. The predictability of asset returns in the BRICS countries: a nonparametric approach
    MPRA Paper, University Library of Munich, Germany Downloads

2013

  1. Extreme conditional value at risk: a coherent scenario for risk management
    MPRA Paper, University Library of Munich, Germany Downloads
  2. International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Posterior outperformance, selectivity and market timing skills in hedge funds: do they persist altogether?
    MPRA Paper, University Library of Munich, Germany Downloads

2012

  1. On the optimality of hedge fund investment strategies: a Bayesian skew t distribution model
    MPRA Paper, University Library of Munich, Germany Downloads

2010

  1. An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio
    MPRA Paper, University Library of Munich, Germany Downloads

Journal Articles

2020

  1. Contagion risk in african sovereign debt markets: A spatial econometrics approach
    International Finance, 2020, 23, (3), 506-536 Downloads
  2. GAS Copula models on who’s systemically important in South Africa: Banks or Insurers?
    Empirical Economics, 2020, 59, (4), 1573-1604 Downloads

2019

  1. Does Economic Freedom Matter For CO2 Emissions? Lessons From Africa
    Journal of Developing Areas, 2019, 53, (3), 155-167 Downloads
  2. Modelling systemic risk in the South African banking sector using CoVaR
    International Review of Applied Economics, 2019, 33, (5), 624-641 Downloads View citations (2)
    See also Working Paper (2017)

2018

  1. Financial behavior, confidence, risk preferences and financial literacy of university students
    Cogent Economics & Finance, 2018, 6, (1), 1512366 Downloads
  2. Incentivized Time Preferences, Level of Education in a Household and Financial Literacy: Laboratory Evidence
    Journal of Economics and Behavioral Studies, 2018, 10, (2), 103-119 Downloads
  3. Linking bank regulatory capital buffer to business cycle fluctuations: Do revenue diversification, market power and cost of funding matter?
    Journal of Economic Studies, 2018, 45, (3), 565-585 Downloads View citations (1)
  4. Modelling Aggregate Risk of the South African Banking Industry: An Application to Pillar II Economic Capital
    The African Finance Journal, 2018, 20, (1), 39-65 Downloads
  5. The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach
    Finance Research Letters, 2018, 25, (C), 131-136 Downloads View citations (4)
    See also Working Paper (2016)

2017

  1. An Empirical Evaluation of Hedge Fund Managerial Skills using Bayesian Techniques
    Asian Academy of Management Journal of Accounting and Finance (AAMJAF), 2017, 13, (1), 63-82 Downloads
  2. Electricity demand in South Africa: is it asymmetric?
    OPEC Energy Review, 2017, 41, (3), 226-238 Downloads View citations (2)
  3. Financial tail risks in conventional and Islamic stock markets: A comparative analysis
    Pacific-Basin Finance Journal, 2017, 42, (C), 60-82 Downloads View citations (13)
  4. Herding Behaviour in Financial Markets: Empirical Evidence from the Johannesburg Stock Exchange
    The African Finance Journal, 2017, 19, (1), 23-44 Downloads View citations (1)
  5. On the Protection of Investment Capital During Financial Crisis in the South African Equity Market: A Risk-Based Asset Allocation Approach
    Economia Internazionale / International Economics, 2017, 70, (2), 165-192 Downloads
  6. Performance evaluation of equity unit trusts in South Africa
    Managerial Finance, 2017, 43, (3), 379-402 Downloads View citations (2)

2016

  1. Do Basel III Higher Common Equity Capital Requirements Matter for Bank Risk-taking Behaviour? Lessons from South Africa
    African Development Review, 2016, 28, (3), 319-331 Downloads View citations (2)
  2. Dynamic Comovements Between Housing and Oil Markets in the US over 1859 to 2013: a Note
    Atlantic Economic Journal, 2016, 44, (3), 377-386 Downloads View citations (8)
    See also Working Paper (2015)

2012

  1. APPLYING A GENETIC ALGORITHM TO INTERNATIONAL DIVERSIFICATION OF EQUITY PORTFOLIOS: A SOUTH AFRICAN INVESTOR PERSPECTIVE
    South African Journal of Economics, 2012, 80, (1), 91-105 Downloads
  2. IMPLEMENTING A ROBUST RISK MODEL FOR SOUTH AFRICAN EQUITY MARKETS: A PEAK-OVER-THRESHOLD APPROACH
    South African Journal of Economics, 2012, 80, (4), 459-472 Downloads View citations (1)

2011

  1. EXTREME VALUE AT RISK: A SCENARIO FOR RISK MANAGEMENT
    South African Journal of Economics, 2011, 79, (2), 173-183
  2. Predictability of Stock Price Behaviour in South Africa: A Non-Parametric Approach
    The African Finance Journal, 2011, 13, (1), 14-27 Downloads View citations (3)
  3. THE PREDICTABILITY OF STOCK MARKET RETURNS IN SOUTH AFRICA: PARAMETRIC VS. NON‐PARAMETRIC METHODS
    South African Journal of Economics, 2011, 79, (3), 301-311 Downloads View citations (9)
 
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