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Showing 5 out of a total of 5 results for collection: Department of Statistics & Actuarial Science.
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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
)
Coupled Climate–Economy–Biosphere (CoCEB) model – Part 1: Abatement efficacy of low-carbon technologies
Ogutu, Keroboto B. Z.
;
D’Andrea, Fabio
;
Ghil, Michael
;
Nyandwi, Charles
(
Earth System Dynamics Discussions
,
2017-01-17
)
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
)
An Investigation of Residential Insurance Demand-side Reactions After a Natural Catastrophe: The Case of the 2010–11 Christchurch Earthquakes
Mumo, Richard
;
Watt, Richard
(
Asia-Pacific Journal of Risk and Insurance
,
2017-07-04
)
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
Omari, Cyprian Ondieki (3)
Mwita, Peter Nyamuhanga (2)
Waititu, Antony Gichuhi (2)
D’Andrea, Fabio (1)
Ghil, Michael (1)
Mumo, Richard (1)
Nyandwi, Charles (1)
Ogutu, Keroboto B. Z. (1)
Watt, Richard (1)
Subject
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)
GARCH Models, Volatility clustering, forecasting volatility, Leverage effect, Value-at-Risk (1)
residential insurance, christchurch earthquakes, natural disaster, multinomial logistic regression (1)
... View More
Date Issued
2017 (5)
Has File(s)
Yes (5)