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A statistical analysis of global economies using time varying copulas

Afuecheta, Emmanuel; Nadarajah, Saralees; Chan, Stephen - In: Computational economics 58 (2021) 4, pp. 1167-1194

Persistent link: https://www.econbiz.de/10012697904

Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis

Afuecheta, Emmanuel; Okorie, Idika E.; Nadarajah, Saralees - In: Computational economics 63 (2024) 1, pp. 271-304

Persistent link: https://www.econbiz.de/10014472109

Extreme value analysis of electricity demand in the UK

Chan, Stephen; Nadarajah, Saralees - In: Applied economics letters 22 (2015) 13/15, pp. 1246-1251

Persistent link: https://www.econbiz.de/10011312714

GARCH modelling of cryptocurrencies

Chu, Jeffrey; Chan, Stephen; Nadarajah, Saralees; … - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-15

With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms...

Persistent link: https://www.econbiz.de/10011854856

Risk : an R package for financial risk measures

Chan, Stephen; Nadarajah, Saralees - In: Computational economics 53 (2019) 4, pp. 1337-1351

Persistent link: https://www.econbiz.de/10012135135

Extreme values and financial risk

Chan, Stephen; Nadarajah, Saralees - In: Journal of risk and financial management : JRFM 13 (2020) 2/32, pp. 1-3

Persistent link: https://www.econbiz.de/10012173829

An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies

Chan, Stephen; Chu, Jeffrey; Zhang, Yuanyuan; … - In: Research in international business and finance 59 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013402146

Optimal reinsurance under the linear combination of risk measures in the presence of reinsurance loss limit

Xiong, Qian; Peng, Zuoxiang; Nadarajah, Saralees - In: Risks : open access journal 11 (2023) 7, pp. 1-26

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have been studied in recent literature. However, losses based on VaR may be underestimated and TVaR allows us to account better for catastrophic losses. In this paper, we propose a...

Persistent link: https://www.econbiz.de/10014340271

Modeling loss data using composite models

Abu Bakar, S. A.; Hamzah, N. A.; Maghsoudi, M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 146-154

Persistent link: https://www.econbiz.de/10010515901

Extreme value models with application to drought data

Nadarajah, Saralees - In: Allgemeines statistisches Archiv : AStA ; journal of … 90 (2006) 3, pp. 403-418

Persistent link: https://www.econbiz.de/10003363487