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This paper investigates the chronological impact of South African Reserve Bank (SARB) repo rate announcements on the Financial Times Stock Exchange/Johannesburg Securities Exchange (FTSE/JSE) All Share Index (ALSI) returns and returns volatility. Covering the period 2012–2021, the study employs...
Recently, various corporate failure prediction models that use machine learning techniques have received considerable attention. In particular, using a sequence of a company's historical information, rather than just the most recent information, yields better predictive performance by adopting...
This study decomposes the trend-cycle components of the stock market indices of the United States and China in a time series framework over the period of 1980–2021, and 1992–2021 years, respectively. Using the extended Kalman filter (EKF) method, the changing dynamics of stock market prices can...
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