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Extreme value analysis for emerging African markets

Author

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  • Saralees Nadarajah

    ()

  • Stephen Chan
  • Emmanuel Afuecheta

Abstract

For the first time, an extreme value analysis is provided for financial data from Africa. The results of analysis show evidence of emerging economies in Africa. Copyright Springer Science+Business Media Dordrecht 2014

Suggested Citation

  • Saralees Nadarajah & Stephen Chan & Emmanuel Afuecheta, 2014. "Extreme value analysis for emerging African markets," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(3), pages 1347-1360, May.
  • Handle: RePEc:spr:qualqt:v:48:y:2014:i:3:p:1347-1360
    DOI: 10.1007/s11135-013-9840-6
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    References listed on IDEAS

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    1. Ja'Nel Esterhuysen & Gary Van Vuuren & Paul Styger, 2012. "Liquidity Creation In South African Banks Under Stressed Economic Conditions," South African Journal of Economics, Economic Society of South Africa, vol. 80(1), pages 106-122, March.
    2. Harvey, Andrew C. & Collier, Patrick, 1977. "Testing for functional misspecification in regression analysis," Journal of Econometrics, Elsevier, vol. 6(1), pages 103-119, July.
    3. Ja'Nel Esterhuysen & Gary Van Vuuren & Paul Styger, 2011. "The Effect Of Stressed Economic Conditions On Systemic Risk Within The South African Banking Sector," South African Journal of Economics, Economic Society of South Africa, vol. 79(3), pages 270-289, September.
    4. Konstantinos Tolikas, 2011. "The rare event risk in African emerging stock markets," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 275-294, February.
    5. Hearn, Bruce, 2011. "Modelling size and liquidity in North African industrial sectors," Emerging Markets Review, Elsevier, vol. 12(1), pages 21-46, March.
    6. Marcel Kohler, Adrian Saville & Adrian Saville, 2011. "Measuring the impact of trade finance on country trade flows: a South African perspective," South African Journal of Economic and Management Sciences, University of Pretoria, Faculty of Economic and Management Sciences, vol. 14(4), pages 436-448, December.
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