Details about John Weirstrass Muteba Mwamba
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
- An empirical analysis of systemic and macroeconomic risk in South Africa: an application of the quantile regression
MPRA Paper, University Library of Munich, Germany
- Sentiment, emotions and stock market predictability in developed and emerging markets
GLO Discussion Paper Series, Global Labor Organization (GLO) View citations (2)
2019
- Dependence Structure of Insurance Credit Default Swaps
MPRA Paper, University Library of Munich, Germany
- Empirical evidence of systemic tail risk premium in the Johannesburg Stock Exchange
MPRA Paper, University Library of Munich, Germany
- Exchange Rate Risk and International Equity Portfolio Diversification: A South African Investor’s Perspective
MPRA Paper, University Library of Munich, Germany
- Modelling Asset Correlations of Revolving Loan Defaults in South Africa
MPRA Paper, University Library of Munich, Germany
2017
- Modelling Systemic Risk in the South African Banking Sector Using CoVar
Working Papers, Economic Research Southern Africa View citations (1)
See also Journal Article in International Review of Applied Economics (2019)
2016
- Are Housing Price Cycles Asymmetric? Evidence from the US States and Metropolitan Areas
Working Papers, University of Pretoria, Department of Economics View citations (3)
- 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
- 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 View citations (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)
- Energy Demand in South Africa: Is it Asymmetric?
Working Papers, University of Pretoria, Department of Economics
- 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)
- 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
- Another reason why the efficient market hypothesis is fuzzy
MPRA Paper, University Library of Munich, Germany
- 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)
- Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models
MPRA Paper, University Library of Munich, Germany
- 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 
Also in MPRA Paper, University Library of Munich, Germany (2013)
- 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
- The predictability of asset returns in the BRICS countries: a nonparametric approach
MPRA Paper, University Library of Munich, Germany
2013
- Extreme conditional value at risk: a coherent scenario for risk management
MPRA Paper, University Library of Munich, Germany
- International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach
MPRA Paper, University Library of Munich, Germany
- Posterior outperformance, selectivity and market timing skills in hedge funds: do they persist altogether?
MPRA Paper, University Library of Munich, Germany
2012
- On the optimality of hedge fund investment strategies: a Bayesian skew t distribution model
MPRA Paper, University Library of Munich, Germany
2010
- An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio
MPRA Paper, University Library of Munich, Germany
Journal Articles
2020
- Contagion risk in african sovereign debt markets: A spatial econometrics approach
International Finance, 2020, 23, (3), 506-536
- GAS Copula models on who’s systemically important in South Africa: Banks or Insurers?
Empirical Economics, 2020, 59, (4), 1573-1604
2019
- Does Economic Freedom Matter For CO2 Emissions? Lessons From Africa
Journal of Developing Areas, 2019, 53, (3), 155-167
- Modelling systemic risk in the South African banking sector using CoVaR
International Review of Applied Economics, 2019, 33, (5), 624-641 View citations (2)
See also Working Paper (2017)
2018
- Financial behavior, confidence, risk preferences and financial literacy of university students
Cogent Economics & Finance, 2018, 6, (1), 1512366
- 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
- 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 View citations (1)
- 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
- The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach
Finance Research Letters, 2018, 25, (C), 131-136 View citations (4)
See also Working Paper (2016)
2017
- 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
- Electricity demand in South Africa: is it asymmetric?
OPEC Energy Review, 2017, 41, (3), 226-238 View citations (2)
- Financial tail risks in conventional and Islamic stock markets: A comparative analysis
Pacific-Basin Finance Journal, 2017, 42, (C), 60-82 View citations (13)
- Herding Behaviour in Financial Markets: Empirical Evidence from the Johannesburg Stock Exchange
The African Finance Journal, 2017, 19, (1), 23-44 View citations (1)
- 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
- Performance evaluation of equity unit trusts in South Africa
Managerial Finance, 2017, 43, (3), 379-402 View citations (2)
2016
- 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 View citations (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 View citations (8)
See also Working Paper (2015)
2012
- 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
- 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 View citations (1)
2011
- EXTREME VALUE AT RISK: A SCENARIO FOR RISK MANAGEMENT
South African Journal of Economics, 2011, 79, (2), 173-183
- Predictability of Stock Price Behaviour in South Africa: A Non-Parametric Approach
The African Finance Journal, 2011, 13, (1), 14-27 View citations (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 View citations (9)
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