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The United States, Brazil, Argentina and South Africa are the largest exporters of maize. This paper examines volatility transmission in maize futures listed on SAFEX, CBOT, MATBA (Argentina) and BMF (Brazil). Four multivariate GARCH models are employed to investigate the dynamics and...
This paper tests whether the financial interpretation of risk contributions (Qian, 2006), as measured by marginal change in volatility, holds when accounting for fat tails in the asset return distributions. This important result is the theoretical foundation of risk-based portfolios, but relies...
Within the period 1965 to 2015 all domestic asset class returns (except cash) are found to exhibit negative correlations with the contemporaneous inflation rate. Cash has hedging qualities due to Reserve Bank inflation targeting policy action but has a low real yield. Furthermore, Engle-Granger...
Investment portfolios are typically created to minimise the level of risk for a required level of return. This paper highlights the importance of the choice of risk metric in this process. The theoretical nature of volatility as a risk measure is reviewed, as are those of three commonly used...
This study tests the effectiveness of the Fama and French (2015) five-factor model in explaining returns on the Johannesburg Securities Exchange (JSE). The five-factor model is compared to the traditional Fama-French three-factor model as well as other factor combinations. The results show that...
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