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~isPartOf:"Journal of mathematical finance"
~person:"Omari, Cyprian Ondieki"
~person:"Yap, Nelson K. L."
~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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ARCH model
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Omari, Cyprian Ondieki
Yap, Nelson K. L.
Ze-To, Samuel Yau Man
Mwita, Peter N.
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Gichuhi, Antony W.
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Gumbo, Victor
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Lim, Kian-Guan
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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
Saved in:
2
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
Saved in:
3
Using conditional extreme value theory to estimate value-at-risk for daily currency exchange rates
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
7
(
2017
)
4
,
pp. 846-870
Persistent link: https://www.econbiz.de/10011859906
Saved in:
4
New approach to density estimation and application to value-at-risk
Lim, Kian-Guan
;
Cheng, Hao
;
Yap, Nelson K. L.
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 423-432
Persistent link: https://www.econbiz.de/10011440077
Saved in:
5
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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