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subject:"ARCH model"
~isPartOf:"Journal of mathematical finance"
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ARCH model
Risikomaß
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Omari, Cyprian Ondieki
3
Mwita, Peter N.
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Gichuhi, Antony W.
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Gumbo, Victor
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Huang, Jhe-Jheng
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Lim, Kian-Guan
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Siziba, Simiso
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Journal of mathematical finance
Energy economics
29
Journal of empirical finance
27
The North American journal of economics and finance : a journal of financial economics studies
26
Journal of banking & finance
23
Economic modelling
22
Finance research letters
22
International journal of forecasting
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Journal of risk
22
Applied economics
20
Journal of risk and financial management : JRFM
16
International review of financial analysis
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The journal of risk model validation
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Working papers
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Journal of forecasting
14
International review of economics & finance : IREF
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Journal of econometrics
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Research in international business and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
Discussion paper / Tinbergen Institute
9
Journal of international financial markets, institutions & money
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Econometric Institute research papers
8
Journal of financial econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Risks : open access journal
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The European journal of finance
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Applied economics letters
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CORE discussion paper : DP
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Computational economics
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Insurance / Mathematics & economics
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International journal of economics and financial issues : IJEFI
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Pacific-Basin finance journal
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Research paper series / Swiss Finance Institute
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Risk management : a journal of risk, crisis and disaster
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CFS working paper series
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Review of quantitative finance and accounting
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Annals of financial economics
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Swiss Finance Institute Research Paper
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ECONIS (ZBW)
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1
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
2
Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Gichuhi, Antony W.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
Saved in:
3
Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
Saved in:
4
New approach to density estimation and application to value-at-risk
Lim, Kian-Guan
;
Cheng, Hao
;
Yap, Nelson K. L.
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 423-432
Persistent link: https://www.econbiz.de/10011440077
Saved in:
5
Using conditional extreme value theory to estimate value-at-risk for daily currency exchange rates
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
7
(
2017
)
4
,
pp. 846-870
Persistent link: https://www.econbiz.de/10011859906
Saved in:
6
An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor
;
Siziba, Simiso
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
Saved in:
7
Crisis, value at risk and conditional extreme value theory via the NIG + Jump model
Ze-To, Samuel Yau Man
- In:
Journal of mathematical finance
2
(
2012
)
3
,
pp. 225-237
Persistent link: https://www.econbiz.de/10009711983
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