Search Results - person:"Gonpot, Preethee Nunkoo"

Conditional and unconditional intraday value-at-risk models : an application to high-frequency tick-by-tick exchange-traded fund data

Nunkoo, Houmera Bibi Sabera; Sookia, Noor Ul Hacq; … - In: Journal of risk : JOR 26 (2023) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10014487297

Autoregressive conditional duration models for high frequency financial data : an empirical study on mid cap exchange traded funds

Nunkoo, Houmera Bibi Sabera; Gonpot, Preethee Nunkoo; … - In: Studies in economics and finance 39 (2022) 1, pp. 150-173

Persistent link: https://www.econbiz.de/10012798505

Autoregressive conditional duration models for high frequency financial data : an empirical study on mid cap exchange traded funds

Nunkoo, Houmera Bibi Sabera; Gonpot, Preethee Nunkoo; … - In: Studies in Economics and Finance 39 (2021) 1, pp. 150-173

Purpose: The purpose of this study is to identify appropriate autoregressive conditional duration (ACD) models that can capture the dynamics of tick-by-tick mid-cap exchange traded funds (ETFs) for the period July 2017 to December 2017 and accurately predict future trade duration values. The...

Persistent link: https://www.econbiz.de/10012813060

Qualification of operational risk : statistical insights on coherent risk measures

Vee, Dany Ng Cheong; Gonpot, Preethee Nunkoo; … - In: The journal of operational risk 14 (2019) 2, pp. 39-59

Persistent link: https://www.econbiz.de/10012052410

Out-of-sample forecasting of the Canadian unemployment rates using univariate models

Jaffur, Zameelah Rifkha Khan; Sookia, Noor Ul Hacq; … - In: Applied economics letters 24 (2017) 13/15, pp. 1097-1101

Persistent link: https://www.econbiz.de/10011716657

Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach

Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10011410313

Forecasting value-at-risk for frontier stock market indexes using GARCH-type models and extreme value theory : model validation for dynamic models

Ng, Dany Allen Nicholas Cheong Vee; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 8 (2014) 4, pp. 47-67

Persistent link: https://www.econbiz.de/10010506584

Assessing the performance of generalized autoregressive conditional heteroskedasticity-based value-at-risk models : a case of frontier markets

Vee, Dany Ng Cheong; Gonpot, Preethee Nunkoo; Sookia, Noor - In: The journal of risk model validation 6 (2012) 4, pp. 95-111

Persistent link: https://www.econbiz.de/10009692959

Assessing the performance of generalized autoregressive conditional heteroskedasticity-based value-at-risk models : a case of frontier markets

Vee, Dany Ng Cheong; Gonpot, Preethee Nunkoo; Sookia, Noor - In: The journal of risk model validation 6 (2012) 4, pp. 95-111

Persistent link: https://www.econbiz.de/10010077133