South Africa
University of Pretoria - Department of Economics
Dynamic Connectedness, Elastic Net VAR, Lasso VAR, Ridge VAR, U.S. Housing
Price Gap Anomaly, Trading Strategy, Stock Market, Momentum Effect, Efficient Market Hypothesis
Stock market, Realized volatility, Industry returns, Market efficiency and information
Income inequality, Panel data, Personal Income
Wavelet decomposition, WLLWNN, Neural network, ARFIMA, HYGARCH
REITs, oil markets, price and volatility spillovers, structural changes
Monetary Policy, Speculation, TVP-VAR, Dynamic Connectedness, Quantiles
Calendar Anomalies, Month of the Year Effect, Stock Market, Efficient Market Hypothesis, January Effect, December Effect, Mark Twain Effect
Decomposition, Income Growth, Inflation, Monetary Policy, Thiel Index
Time-varying, GARCH, Bitcoin, Electricity returns
Overreaction, Momentum Effect, Contrarian Effect, Abnormal Returns, Stock Market; Dow Jones Index
Time-varying Granger Causality, GARCH, DCC-MGARCH, Unemployment, Exchange rates
Fiscal Policy, Time-Varying impact, Financial returns and risks
Unit Root, Time-Dependence, Nonlinearity, State-Dependence, Fourier Function
consumption, housing wealth effect, financial wealth effect, multi-step causality
CPI, Inflation spillovers, Geopolitical risk, TVP-VAR, Dynamic connectedness
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Bitcoin, forecasting, machine learning, US–China trade war
File name: SSRN-id3761883.pdf Size: 180K
stock market jumps, monetary policy uncertainty, volatility, causality-in-quantiles, conditional distribution
Inflation, GDP, Forecasting, Support Vector Machines, Term Premium
