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Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates
Omari, Cyprian Ondieki
;
Mwita, Peter Nyamuhanga
;
Waititu, Antony Gichuhi
(
Journal of Mathematical Finance
,
2017-11-02
)
Conditional Dependence Modelling with Regular Vine Copulas
Omari, Cyprian Ondieki
;
Mwita, Peter Nyamuhanga
;
Waititu, Antony Gichuhi
(
Journal of Statistical and Econometric Methods
,
2019-01-01
)
A Comparative Performance of Conventional Methods for Estimating Market Risk Using Value at Risk
Omari, Cyprian Ondieki
(
International Journal of Econometrics and Financial Management,
,
2017
)
Modeling the Frequency and Severity of Auto Insurance Claims Using Statistical Distributions
Omari, Cyprian Ondieki
;
Nyambura, Shalyne Gathoni
;
Mwangi, Joan Martha Wairimu
(
Journal of Mathematical Finance
,
2018-02-26
)
Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic-Extreme Value Theory-Copula Model
Omari, Cyprian Ondieki
;
Mwita, Peter Nyamuhanga
;
Gichuhi, Antony W.
(
Journal of Mathematical Finance
,
2018-05-31
)
Modeling USD/KES Exchange Rate Volatility using GARCH Models
Omari, Cyprian Ondieki
;
Mwita, Peter Nyamuhanga
;
Waititu, Antony Gichuhi
(
IOSR Journal of Economics and Finance (IOSR-JEF)
,
2017-02
)
Pricing Bermudan Option with Variable Transaction Costs under the Information-Based Model
Odin, Matabel
;
Aduda, Jane Akinyi
;
Omari, Cyprian Ondieki
(
Open Journal of Statistics
,
2022-10
)
Numerical Approximation of Information-Based Model Equation for Bermudan Option with Variable Transaction Costs
Matabel Odin
;
Jane Akinyi Aduda
;
Omari, Cyprian Ondieki
(
Journal of Mathematical Finance
,
2023-02
)
Social Media Users Cyberhate Reporting Intentions: Does Users’ Perceptions of Police Effectiveness Matter?
Wafula, Samuel Mung'ale
;
Kariuki, Peterson Mwai
;
Omari, Cyprian Ondieki
(
Journal of Information Security and Cybercrimes Research
,
2023-11
)
Unraveling Market Inefficiencies: Weak Arbitrage and the Information-Based Model for Option Pricing
Odin, Matabel
;
Aduda, Jane Akinyi
;
Omari, Cyprian Ondieki
(
2023-11
)
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Author
Omari, Cyprian Ondieki (11)
Mwita, Peter Nyamuhanga (4)
Waititu, Antony Gichuhi (3)
Aduda, Jane Akinyi (2)
Kariuki, Peterson Mwai (2)
Odin, Matabel (2)
Wafula, Samuel Mung'ale (2)
Gichuhi, Antony W. (1)
Jane Akinyi Aduda (1)
Matabel Odin (1)
... View More
Subject
Actuarial Modeling, Claim Frequency, Claim Severity, Goodness-of-Fit Tests, Maximum Likelihood Estimation (MLE), Loss Distributions (1)
Backtesting, Copulas, Currency Exchange Rate, Dependence Modelling, GARCH-EVT-Copula Model, Portfolio Risk, Value-at-Risk (1)
Backtesting, Extreme Value Theory (EVT), Financial Risk Management (FRM), GARCH Models, Peak-Over-Threshold (POT) and Value-at-Risk (VaR) (1)
backtesting, generalized autoregressive conditionally heteroscedastic (GARCH) models, Value-at-Risk (VaR), volatility clustering, Conditional and Unconditional Coverage Tests (1)
Copula; regular vines; C-Vine, D-Vine; currency exchange rates; tail dependence; pair-copula constructions. (1)
GARCH Models, Volatility clustering, forecasting volatility, Leverage effect, Value-at-Risk (1)
... View More
Date Issued
2023 (4)
2017 (3)
2018 (2)
2019 (1)
2022 (1)
Has File(s)
Yes (11)