Browsing by Author "Waititu, Antony Gichuhi"

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Browsing by Author "Waititu, Antony Gichuhi"

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  • Omari, Cyprian Ondieki; Mwita, Peter Nyamuhanga; Waititu, Antony Gichuhi (Journal of Statistical and Econometric Methods, 2019-01-01)
    Modelling sophisticated high-dimensional dependence structures for financial assets in a portfolio framework require flexible dependence models. In this paper, a regular vine-copula based model is employed to analyze ...
  • Lidiema, Caspah; Waititu, Antony Gichuhi; Ngunyi, Anthony (American Journal of Applied Mathematics and Statistics, 2018)
    This research paper use Bayesian VAR framework to forecast the household credit in the dynamic market of foreign remittances inflow to Kenya. The Bayesian VARs model in this study employs the sims-Zha prior to estimate. ...
  • Omari, Cyprian Ondieki; Mwita, Peter Nyamuhanga; Waititu, Antony Gichuhi (IOSR Journal of Economics and Finance (IOSR-JEF), 2017-02)
    In this paper the generalized autoregressive conditional heteroscedastic models are applied in modeling exchange rate volatility of the USD/KES exchange rate using daily observations over the period starting 3rd January ...
  • Lidiema, Caspah; Waititu, Antony Gichuhi; Mageto, Thomas; Ngunyi, Anthony (American Journal of Applied Mathematics and Statistics, 2018)
    Generalized Additive Models for Location, Scale and Shape (GAMLSS)is a very flexible model class, extending the classical Generalized Additive Model (GAM) framework. Not only the mean, but all distribution parameters are ...
  • Omari, Cyprian Ondieki; Mwita, Peter Nyamuhanga; Waititu, Antony Gichuhi (Journal of Mathematical Finance, 2017-11-02)
    This paper implements different approaches used to compute the one-day Value-at-Risk (VaR) forecast for a portfolio of four currency exchange rates. The concepts and techniques of the conventional methods considered in ...