Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Emmanuel Afuecheta, Idika E. Okorie, Saralees Nadarajah, Geraldine E. Nzeribe
| 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
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| Subject: | Asymmetric Student's t distribution | Generalized hyperbolic distribution | Maximum likelihood | Student's t distribution | Wechselkurs | Exchange rate | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Theorie | Theory | Korrelation | Correlation | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Studierende | Students |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-022-10340-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014472109