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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)

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Author
- Gichuhi, Antony W. (1)
- Mwita, Peter Nyamuhanga (1)
- Omari, Cyprian Ondieki (1)
Subject
- Backtesting, Copulas, Currency Exchange Rate, Dependence Modelling, GARCH-EVT-Copula Model, Portfolio Risk, Value-at-Risk (1)
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- 2018 (1)
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