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Keywords: return generating process
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Journal Articles
An augmented macroeconomic linear factor model of South African industrial sector returns
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (5): 517–541.
Published: 30 November 2020
... conditions return generating process time-series standardized coefficients C01 C13 C32 C58 G12 G15 The South African stock market, the Johannesburg Stock Exchange (JSE), is a highly developed and globally integrated market. In terms of market capitalization, it exceeds the Madrid Stock...
