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~isPartOf:"Journal of mathematical finance"
~person:"Ngunyi, Anthony"
~person:"Ze-To, Samuel Yau Man"
~subject:"ARCH model"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Ngunyi, Anthony
Ze-To, Samuel Yau Man
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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
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2
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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