Browsing by Author "Wilcox, Diane"

Now showing 1 - 4 of 4
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    Open Access
    Building a statistical linear factor model and a global minimum variance portfolio using estimated covariance matrices
    (2009) Matoti, Lundi; Wilcox, Diane; Gebbie, T
    Includes bibliographical references (leaves 73-75).
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    Open Access
    Fourier method for the measurement of univariate and multivariate volatility in the presence of high frequency data
    (2007) Malherbe, Chanel; Wilcox, Diane
    Includes bibliographical references (leaves 75-77).
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    Open Access
    Modelling seasonality in South African agricultural futures
    (2007) Kirk, Richard; Wilcox, Diane
    This study investigates the seasonality in agricultural commodity futures prices. Futures prices are modelled using the model developed by Sørensen (2002). The model defines the commodity spot price as the sum of a nonstationary state variable, a stationary state variable and a deterministic seasonal component. Standard no-arbitrage arguments are applied in order to derive futures and option prices. Model parameters are estimated using Kalman filter methodology and maximum likelihood estimation. Model parameters are estimated for white maize, yellow maize and wheat futures traded on the South African Futures Exchange (SAFEX). Furthermore, this research considers other models for commodity derivatives as well as pricing futures contracts in the presence of price limits.
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    Open Access
    Multivalued semi-Fredholm operators in normed linear spaces
    (2002) Wilcox, Diane; Cross, Ron W
    Certain properties associated with these classes are stable under small perturbation, i.e. stable under additive perturbation by continuous operators whose norms are less than the minimum modulus of the relation being perturbed, and are also stable under perturbation by compact, strictly singular or strictly cosingular operators. In this work we continue the study of these classes and introduce the classes of α-Atkinson and β-Atkinson relations. These are subclasses of upper and lower semi-Fredholm relations respectively, having generalised inverses and defined in terms of the existence of continuous projections onto their ranges and nullspaces.