Now showing items 1-3 of 3
Modeling South African banks closing stock prices: a Markov-Switching approach
(International Foundation for Research and Development (IFRD), 2016)
In this paper, we provide evidence that the five variables used in the study were nonlinear in nature, while finding a better Markov-switching model. The study used dailydata obtained from the Johannesburg Stock Exchange ...
An early warning system for inflation using Markov-Switching and logistic models approach
(Virtus interpress, 2016)
With the adoption of the inflation targeting by the South African Reserve Bank (SARB) in 2000, the average inflation radically went down. Earlier 2000, the inflation rate was recorded at 8.8% that is January 1999; then a ...
Threshold cointegration and nonlinear causality test between inflation rate and repo rate
(International Foundation for Research and Development (IFRD), 2017)
The current study investigated a cointegration and nonlinear causality relationships between inflation and repo rates of South Africa using the data spanning the period of January 2002 to March 2016. We used a threshold ...