Analytics Research Group

Book Chapters

1. “The Calibration of Market Risk Measures During Period of Economic Downturn: Market Risks and Measures” (chapter 7) (2017). In “Risk Management, Strategic Thinking and Leadership in the Financial Services Industry”. ISBN: 978-3-319-47171-6. Edited by Dinçer, H. and Hacioğlu, Ü. Springer International Publishing. DOI: 10.1007/978-3-319-47172-3

 

1. “Computation of Operational Value at Risk Using the Severity Distribution Model Based on Bayesian Method with Gibbs Sampler” (chapter 8) (2017). In “Risk Management, Strategic Thinking and Leadership in the Financial Services Industry”. ISBN: 978-3-319-47171-6. Edited by Dinçer, H. and Hacioğlu, Ü. Springer International Publishing. DOI: 10.1007/978-3-319-47172-3

 

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• Forthcoming Research Articles

             Accepted in 2017:

1. "The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach." (with Christophe Andre, Lumengo Bonga-Bonga and Rangan Gupta) Forthcoming in Journal of Real Estate Research.

2. "An Empirical Evaluation of Hedge Fund Managerial Skills using Bayesian Techniques" Forthcoming in Asian Academy of Management Journal of Accounting & Finance. 

3. "Electricity Demand in South Africa: Is it Asymmetric?" (with Roula Inglesi-Lotz and Rangan Gupta) (Submitted.) Forthcoming in OPEC Energy Review.

4. “On the Protection of Investment Capital During Financial Crisis: A Risk-Based Asset Allocation Approach.” (with Lamu Mantshimuli) Forthcoming in Economia Internazionale/International Economics

 

Accepted as of end of 2016:

1. “Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model." (with Mehmet Balcilar, Mampho P. Modise and Rangan Gupta) Forthcoming in Frontiers in Finance and Economics.

2.  “Test of Herding Behaviour in the Johannesburg Stock Exchange: Application of Quantile Regression Model” (with Kofi Ababio) Forthcoming in Journal of Economic and Financial Sciences.

3. “Herding Behaviour in Financial Markets : Empirical Evidence from the Johannesburg Stock Exchange” (with Kofi Ababio) Forthcoming in African Finance Journal.  

 

• Under Review Research Articles

1. "Are Housing Price Cycles Asymmetric? Evidence from the US States and Metropolitan Areas." (with Christophe Andre and Rangan Gupta) (Submitted.)

2. Is the drift and diffusion functions of the South Africa short-term interest rates linear? (with Josine Uwilingiye, and Lethaba Theba) (Submitted)

3. An Uncertainty Model for hedge fund performance Analysis Using Fuzzy Set Theory (under 2nd revision in “Fuzzy Economic Review”. Under review 

 

• Published Research Articles

1. “Performance Evaluation of Equity Unit Trusts in South Africa.” Managerial Finance journal, January 2017, Vol. 43 Iss: 3, pp. (with Bonolo Thobejane, and Simo-Kengne).  

2. “Do Basel III Higher Common Equity Capital Requirements Matter for Bank Risk-taking Behaviour.” African Development Review; September 2016; Volume 28, Issue 3, page 319 – 331. (with Sunday Adesina)

3. “Dynamic Co-movements Between Housing and Oil Markets in the U.S over 1859 to 2013: A Note.” Atlantic Economic Journal; 44; page 377 – 386. 2016. (with Nikolaos Antonakakis, and Rangan Gupta)

4. Financial Tail Risks in Conventional and Islamic Stock Markets: A Comparative Analysis. Pacific-Basin Finance Journal. In press January 2016 (with Hammoudeh, S., and Gupta, R.)

5. Asymptotic Tail Probability for the Discounted Aggregate Sums in a Time Dependent Renewal Risk Model. South African Statistical Journal, Vol 49, issue 2, 2015 (with Adekambi, F.)

6. “Effects of Basel III Higher Capital Requirements via Bank Lending Rates in Africa: A Preliminary Assessment. Bank and Bank Systems, Vol. 10, Issue: 4, page 52 - 61(with Sunday Kolade)

7. “The Effect of Probability and Uncertainty Models on Hedge Fund Performance Analysis”; the Journal of Applied Business Research; September/October 2014, volume 30, number 5

8. “Value at Risk, Minimum Capital Requirement and the Use of Extreme Value Distributions: An Application to BRICS Markets”, International Business and Economics Research Journal, January/February 2015; Vol. 14, number 1  (with Donovan Beytell)

9. “On the Persistence of Selectivity and Market Timing Skills in Hedge Funds”; International Business & Economics Research Journal; December 2013, volume 12, number 12

10. “Implied Volatility of Voreign Exchange Options: A leading Indicator for Currency Crisis Identification”; African Journal of Business Management, Vol.6 (43), pp. 10766-10774, 31 October 2012. DOI: 10.5897/AJBM11.2798 (with Themba Majadibobu)

11. "On the Optimality of Hedge Fund Investment Strategies: a Bayesian Skew t Distribution Model"; African Journal of Business Management, Vol. 6 (36), pp. 10014 – 10024. 2012. DOI: 10.5897/AJBM11.2856

12. "The Role of Distribution and Volatility Specification in Value at Risk Estimation: Evidence from the Johannesburg Stock Exchange"; Journal of Economics and Financial Sciences, Vol. 5 (2) pp. 519 – 532 October 2012 (with Kruger Pretorius)

13. “Implementing a Robust Market Risk Model for South African Equity Markets: A Peak-Over Threshold Approach.” South African Journal of Economics, Vol. 80(4) pp. 459 – 472. Dec. 2012;

14. “Modelling Stock Price Behaviour: The Kernel Approach”, Journal of economics and International Finance, Vol. 3(7), pp. 418- 423, July 2011

15. “Applying a Genetic Algorithm to International Diversification of Equity Portfolios: A South African Investor Perspective”, South African Journal of Economics, Vol. 80.1 March 2012 ( with Alain Kabundi)

16. “The Predictability of Stock Market Returns in South Africa: Parametric versus Nonparametric Methods”, South African Journal of Economics, Vol. 79:3 September 2011 (with Bonga Bonga)

17. “Predictability of Stock Price Behaviour in South Africa: A Non-parametric Approach” African Finance Journal, Vol. 13.1, June 2011

18. “Extreme Value at Risk: A Scenario for Risk Management,” South African Journal of Economics, Vol. 79:2, June  2011 (with Alain Kabundi).