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Keywords: time-series
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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
...Jan Jakub Szczygielski; Leon Brümmer; Hendrik Petrus Wolmarans Purpose This study aims to investigate the impact of the macroeconomic environment on South African industrial sector returns. Design/methodology/approach Using standardized coefficients derived from time-series factor models...
