Empirical analyses of extreme value models for the South African mining index
© 2014 Economic Society of South Africa. While the classical normality assumption is simple to implement, it is well known to underestimate the leptokurtic behaviour demonstrated in most financial data. After examining properties of the Johannesburg Stock Exchange Mining Index returns, we propose tw...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/67499 |