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Value-at-risk estimation of gold market with stable generalised hyperbolic distributions

Chinhamu, Knowledge; Chikobvu, Delson - In: Journal of economic and financial sciences 10 (2017) 3, pp. 508-512

Persistent link: https://www.econbiz.de/10011795972

A study on window-size selection for threshold and bootstrap value-at-risk models

Smith, Anri; Huang, Chun-Kai - In: The journal of risk model validation 13 (2019) 4, pp. 1-16

Persistent link: https://www.econbiz.de/10012373140

Analysis of stock exchange risk and currency in South African financial markets using stable parameter estimation

Naradh, Kimera; Chifurira, Retius; Chinhamu, Knowledge - In: International journal of finance & banking studies : JJFBS 11 (2022) 1, pp. 120-131

Persistent link: https://www.econbiz.de/10012804729

Estimation and prediction of commodity returns using long memory volatility models

Basira, Kisswell; Dhliwayo, Lawrence; Chinhamu, Knowledge; … - In: Risks : open access journal 12 (2024) 5, pp. 1-20

Modelling the volatility of commodity prices and creating more reliable models for estimating and forecasting commodity price returns are crucial. The body of research on statistical models that can fully reflect the empirical characteristics of commodity price returns is lacking. The main aim...

Persistent link: https://www.econbiz.de/10014636621