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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)

Now showing items 1-1 of 1

Author
- Mwita, Peter Nyamuhanga (1)
- Omari, Cyprian Ondieki (1)
- Waititu, Antony Gichuhi (1)
Subject
- Backtesting, Extreme Value Theory (EVT), Financial Risk Management (FRM), GARCH Models, Peak-Over-Threshold (POT) and Value-at-Risk (VaR) (1)
- ... View More
Date Issued
- 2017 (1)
Has File(s)
- Yes (1)