Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Cyprian O. Omari, Peter N. Mwita, Antony W. Gichuhi
| Year of publication: |
May 2018
|
|---|---|
| Authors: | Omari, Cyprian Ondieki ; Mwita, Peter N. ; Gichuhi, Antony W. |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 8.2018, 2, p. 457-477
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| Subject: | Backtesting | Copulas | Currency Exchange Rate | Dependence Modelling | GARCH-EVT-Copula Model | Portfolio Risk | Value-at-Risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Risiko | Risk | Währungsrisiko | Exchange rate risk | Volatilität | Volatility | Schätzung | Estimation | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2018.82029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011875347