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

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
2. Sentiment, emotions and stock market predictability in developed and emerging markets
   GLO Discussion Paper Series, Global Labor Organization (GLO) View citations (2)

2019

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

2017

7. 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

8. Are Housing Price Cycles Asymmetric? Evidence from the US States and Metropolitan Areas
   Working Papers, University of Pretoria, Department of Economics View citations (3)
9. 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

10. 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)
11. 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)
12. Energy Demand in South Africa: Is it Asymmetric?
    Working Papers, University of Pretoria, Department of Economics
13. 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)
14. 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

15. Another reason why the efficient market hypothesis is fuzzy
    MPRA Paper, University Library of Munich, Germany
16. 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)
17. Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models
    MPRA Paper, University Library of Munich, Germany
18. 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)
19. 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
20. The predictability of asset returns in the BRICS countries: a nonparametric approach
    MPRA Paper, University Library of Munich, Germany

2013

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

2012

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

2010

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

Journal Articles

2020

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

2019

3. Does Economic Freedom Matter For CO2 Emissions? Lessons From Africa
   Journal of Developing Areas, 2019, 53, (3), 155-167
4. 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

5. Financial behavior, confidence, risk preferences and financial literacy of university students
   Cogent Economics & Finance, 2018, 6, (1), 1512366
6. 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
7. 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)
8. 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
9. 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

10. 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
11. Electricity demand in South Africa: is it asymmetric?
    OPEC Energy Review, 2017, 41, (3), 226-238 View citations (2)
12. Financial tail risks in conventional and Islamic stock markets: A comparative analysis
    Pacific-Basin Finance Journal, 2017, 42, (C), 60-82 View citations (13)
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)
14. 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
15. Performance evaluation of equity unit trusts in South Africa
    Managerial Finance, 2017, 43, (3), 379-402 View citations (2)

2016

16. 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)
17. 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

18. 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
19. 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

20. EXTREME VALUE AT RISK: A SCENARIO FOR RISK MANAGEMENT
    South African Journal of Economics, 2011, 79, (2), 173-183
21. Predictability of Stock Price Behaviour in South Africa: A Non-Parametric Approach
    The African Finance Journal, 2011, 13, (1), 14-27 View citations (3)
22. 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)