Using conditional extreme value theory to estimate value-at-risk for daily currency exchange rates
Cyprian O. Omari, Peter N. Mwita, Antony G. Waititu
| 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
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| Subject: | Backtesting | Extreme Value Theory (EVT) | Financial Risk Management (FRM) | GARCH Models | Peak-Over-Threshold (POT) | Value-at-Risk (VaR) | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Wechselkurs | Exchange rate | Ausreißer | Outliers | Risikomanagement | Risk management | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2017.74045 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011859906