Browsing by Subject "Hodrick Prescott Filter"

Now showing items 1-2 of 2

    • Forecasting the South African business cycle using Fourier Analysis 

      Thomson, Daniel; Van Vuuren, Gary (Clute Institute, 2016)
      A Fourier transform analysis is proposed to determine the duration of the South African business cycle, measured using log changes in nominal gross domestic product (GDP). The most prominent cycle (two smaller, but ...

    • Measuring and mitigating capital procyclicality in South African banks 

      Visser, Dirk (North-West University (South Africa) , Potchefstroom Campus, 2017)
      The regulatory market risk metric – Value at Risk (VaR) – has remained virtually unchanged since its introduction by JP Morgan in 1996. Many prominent examples of market risk underestimation have undermined the credibility ...