Using conditional extreme value theory to estimate value-at-risk for daily currency exchange rates
Year of publication: |
November 2017
|
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Authors: | Omari, Cyprian Ondieki ; Mwita, Peter N. ; Waititu, Antony G. |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 7.2017, 4, p. 846-870
|
Subject: | Backtesting | Extreme Value Theory (EVT) | Financial Risk Management (FRM) | GARCH Models | Peak-Over-Threshold (POT) | Value-at-Risk (VaR) | Risikomanagement | Risk management | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Theorie | Theory | Ausreißer | Outliers | Aktienindex | Stock index | Wechselkurs | Exchange rate |
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