Value at Risk

This thesis explores various aspects of long memory behaviour in African stock markets (ASMs). First, we examine long memory in both equity returns and volatility using the weak-form version of the efficient market hypothesis (EMH) as a criterion. The results show that these mar…

Sukuk are an important mode of financing in the Islamic financial system. As usury (interest) is prohibited in Islam, conventional bonds are not suitable for investors in Islamic countries. Since their launch in the 1980s, Sukuk have gained recognition and popularity as a substi…

This dissertation examines the effect of model-selection uncertainty in autoregressive models. The first chapter of the dissertation identifies the effects of model-selection uncertainty in autoregressive models—namely, the bias of the coefficient estimates, the bias of their st…