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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
)
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
)
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Author
Mwita, Peter Nyamuhanga (4)
Omari, Cyprian Ondieki (4)
Waititu, Antony Gichuhi (3)
Gichuhi, Antony W. (1)
Subject
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)
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)
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Date Issued
2017 (2)
2018 (1)
2019 (1)
Has File(s)
Yes (4)