Nico Katzke

Nico Katzke
Prescient Securities

Master's Financial Economics (cum laude)

About

12
Publications
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85
Citations

Publications

Publications (12)
Article
Full-text available
In this paper we set out to test whether, on sector level, returns series in South Africa exhibit long memory and asymmetries and, more specifically, whether these effects should be accounted for when assessing downside risk. The purpose of this analysis is not to identify the most optimal downside risk assessment model or to reaffirm the often reg...
Article
In this paper we test whether the key metals prices of gold and platinum significantly improve inflation forecasts for the South African economy. We also test whether controlling for conditional correlations in a dynamic setup, using bivariate Bayesian-Dynamic Conditional Correlation (B-DCC) models, improves inflation forecasts. To achieve this we...
Article
Full-text available
In this paper we set out to date-stamp periods of US housing price explosivity for the period 1830 – 2013. We make use of several robust techniques that allow us to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and when it recedes to long term stable prices. The first technique used...
Research
Full-text available
This paper tests the well-established finding in the literature that SA firms are significantly more profitable and operate in a highly concentrated market, relative to that of their foreign counterparts. In particular we question the conclusions drawn by Aghion, Braun, and Fedderke (2008) who find that South African firms enjoy profitability margi...
Article
This paper studies whether periodic changes to the constituents in the Swix Top 40 Index leads to price distortions at quarterly rebalancing. Following large and predictable spikes in trade of affected stocks around rebalancing, the natural question is whether this produces a profitable arbitrage trade. Considering excess returns over key rebalanci...
Article
Full-text available
In this paper the authors set out to date-stamp periods of US housing price explosivity for the period 1830–2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and when it recedes to long term stable prices. The first tec...
Research
Full-text available
In this paper we set out to test whether, on sector level, returns series in South Africa exhibit long memory and asymmetries and, more specifically, whether these effects should be accounted for when assessing downside risk. The purpose of this analysis is not to identify the most optimal downside risk assessment model or to reaffirm the often reg...
Research
Full-text available
In this paper we test whether the key metals prices of gold and platinum significantly improve inflation forecasts for the South African economy. We also test whether controlling for conditional correlations in a dynamic setup, using bivariate Bayesian-Dynamic Conditional Correlation (B-DCC) models, improves inflation forecasts. To achieve this we...
Article
Full-text available
In this paper we test whether the key metals prices of gold and platinum significantly improve inflation forecasts for the South African economy. We also test whether controlling for conditional correlations in a dynamic setup, using bivariate Bayesian-Dynamic Conditional Correlation (B-DCC) models , improves inflation forecasts. To achieve this we...

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