Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Year of publication: |
2024
|
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Authors: | Afuecheta, Emmanuel ; Okorie, Idika E. ; Nadarajah, Saralees ; Nzeribe, Geraldine E. |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 63.2024, 1, p. 271-304
|
Subject: | Asymmetric Student's t distribution | Generalized hyperbolic distribution | Maximum likelihood | Student's t distribution | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Theorie | Theory | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Korrelation | Correlation |
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