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  • Search: subject:"GARCH–EVT-Copula model"
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Year of publication
Subject
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Exchange rate 2 ARCH model 1 ARCH-Modell 1 Backtesting 1 Copulas 1 Currency Exchange Rate 1 Dependence Modelling 1 Estimation 1 Exchange rate risk 1 GARCH-EVT-Copula Model 1 GARCH–EVT-Copula model 1 Measurement 1 Messung 1 Multivariate Verteilung 1 Multivariate distribution 1 Portfolio Risk 1 Portfolio risk 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Schätzung 1 Theorie 1 Theory 1 VaR and CVaR 1 Value-at-Risk 1 Volatility 1 Volatilität 1 Wechselkurs 1 Währungsrisiko 1
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Undetermined 2
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Chen, Xiao-Hong 1 Gichuhi, Antony W. 1 Jin, Yan-Bo 1 Mwita, Peter N. 1 Omari, Cyprian Ondieki 1 Wang, Zong-Run 1 Zhou, Yan-Ju 1
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Journal of mathematical finance 1 Physica A: Statistical Mechanics and its Applications 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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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
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Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model
Wang, Zong-Run; Chen, Xiao-Hong; Jin, Yan-Bo; Zhou, Yan-Ju - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 21, pp. 4918-4928
This paper introduces GARCH–EVT-Copula model and applies it to study the risk of foreign exchange portfolio …
Persistent link: https://www.econbiz.de/10010872244
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