Recent working papers

Posted by Melt van Schoor on 2015-08-03

The following working papers were recently added to the Stellenbosch Working Paper Series:

In "Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?", Nico Katzke and Chris Garbers test whether, on sector level, returns series in South Africa exhibit long memory and asymmetries and, more specifically, whether these effects should be accounted for when assessing downside risk. Their findings confirm that controlling for asymmetries and long memory in volatility models improve risk management calculations.

Hendrik van Broekhuizen uses aggregate data from the Higher Education Management Information System (HEMIS) to analyse the trends and underlying correlates of first-time enrolments and graduations in initial teacher education (ITE) programmes in the public higher education system between 2004 and 2013 in "Teacher Supply in South Africa: A Focus on Initial Teacher Education Graduate Production".

Finally, in "Identifying Periods of US Housing Market Explosivity", Mehmet Balcilar, Nico Katzke and Rangan Gupta apply several robust techniques that allow them to identify periods in which US housing prices start to exhibit explosivity with respect to its past behaviour and when it recedes to long term stable prices.

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20 November 2017
Last week, retail and wholesale data was released for the domestic economy. The September growth figures completed the picture for the third quarter. In this regard, the growth in retail sales should support GDP growth in Q3, while a significant contraction in wholesale sales will have the opposite effect. Internationally, economic growth was reported...

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Upcoming Seminars

No seminars are currently listed. Please check back soon.
 
More...

BER Weekly

20 November 2017
Last week, retail and wholesale data was released for the domestic economy. The September growth figures completed the picture for the third quarter. In this regard, the growth in retail sales should support GDP growth in Q3, while a significant contraction in wholesale sales will have the opposite effect. Internationally, economic growth was reported...

Read the full issue