Tim Gebbie

University of Cape Town, Department of Statistical Sciences

PD Hahn Building (South Entrance)

Upper Campus

Cape Town, Western Cape 7701

South Africa

University of the Witwatersrand, School of Computational and Applied Mathematics

South Africa

SCHOLARLY PAPERS

4

DOWNLOADS

314

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Hierarchical Causality in Financial Economics

Number of pages: 16 Posted: 02 Jan 2015 Last Revised: 16 May 2015
Diane Wilcox and Tim Gebbie
University of the Witwatersrand, School of Computational and Applied Mathematics and University of Cape Town, Department of Statistical Sciences
Downloads 221 (172,162)
Citation 4

Abstract:

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Hierarchical causaility, complexity, risk factors, multilevel model, emergence

2.

Factorising Equity Returns in an Emerging Market Through Exogenous Shocks and Capital Flows

Number of pages: 28 Posted: 22 Jun 2013 Last Revised: 01 Jul 2013
Diane Wilcox and Tim Gebbie
University of the Witwatersrand, School of Computational and Applied Mathematics and University of Cape Town, Department of Statistical Sciences
Downloads 93 (341,567)
Citation 1

Abstract:

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stochastic portfolio theory, risk factors, foreign direct investment, net portfolio investment, size-effect, emerging markets, fragility

3.

On Pricing Kernels, Information and Risk

Investment Analysts Journal, Vol. 44, No. 1, pp 1-19, 2015
Posted: 16 Oct 2013 Last Revised: 14 Feb 2015
Diane Wilcox and Tim Gebbie
University of the Witwatersrand, School of Computational and Applied Mathematics and University of Cape Town, Department of Statistical Sciences

Abstract:

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Arbitrage pricing theory, characteristic based models, size effect, value effect, linear pricing kernel, nonlinear pricing kernel

4.

Serial Correlation, Periodicity and Scaling of Eigenmodes in an Emerging Market

International Journal of Theoretical and Applied Finance, Vol. 11, No. 7, pp. 739-760, 2008
Posted: 17 Apr 2010 Last Revised: 26 Jan 2015
Diane Wilcox and Tim Gebbie
University of the Witwatersrand, School of Computational and Applied Mathematics and University of Cape Town, Department of Statistical Sciences

Abstract:

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Emerging markets, random matrices, random walk hypothesis, long memory