An innovative extended Bayesian analysis of the relationship between returns and different risk measures in South Africa

An innovative extended Bayesian analysis of the relationship between returns and different risk measures in South Africa

This study investigated the All Share Index (ALSI) returns and six different risk measures of the South African market for the sample period from 17 March 2000 to 17 March 2022. The risk measures analyzed were standard deviation (SD), absolute deviation (AD), lower semi absolute deviation (LSAD), lo...

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Bibliographic Details
Main Author: Nitesha Dwarika
Format: Article
Language:English
Published: AIMS Press 2022-12-01
Series:Quantitative Finance and Economics
Subjects:
risk-return relationship
bayesian approach
parametric model
asymmetry
density regression
quantile regression
survival analysis
Online Access:https://www.aimspress.com/article/doi/10.3934/QFE.2022025?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/QFE.2022025?viewType=HTML

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