Empirical analyses of extreme value models for the South African mining index

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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...

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Bibliographic Details
Main Authors:	Chinhamu, K., Huang, Chun-Kai, Huang, C., Hammujuddy, J.
Format:	Journal Article
Published:	2015
Online Access:	http://hdl.handle.net/20.500.11937/67499

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