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Foreign exchange risk in a managed float regime : a case study of Pakistani rupee
Mudakkar, Syeda Rabab; Uppal, Jamshed Y.; Zaman, Khalid; … - In: Economic modelling 35 (2013), pp. 409-417
Persistent link: https://www.econbiz.de/10010259786
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Idiosyncrasies of intraday risk in emerging and developed markets : efficacy of the MCS-GARCH model and extreme value theory
Banerjee, Aditya; Paul, Samit - In: Global business review 25 (2024) 2, pp. 468-490
Persistent link: https://www.econbiz.de/10014634250
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Alarming of exchange rate crisis : a risk management approach
Zhao, Da; Wu, Tianhao - In: Risk governance & control : financial markets & institutions 6 (2016) 2, pp. 79-88
Persistent link: https://www.econbiz.de/10011657506
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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
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Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory : evidence from crude oil prices and US exchange rates
Jammazi, Rania; Nguyen, Duc Khuong - In: Journal of the Operational Research Society : OR 68 (2017) 11, pp. 1352-1362
Persistent link: https://www.econbiz.de/10011815894
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The generalised pareto distribution model approach to comparing extreme risk in the exchange rate risk of BitCoin/US Dollar and South African Rand/US Dollar Returns
Ndlovu, Thabani; Chikobvu, Delson - In: Risks : open access journal 11 (2023) 6, pp. 1-16
employed to estimate the Value at Risk (VaR) and the Expected Shortfall (ES) for the two exchange rates, BitCoin/US dollar … the BTC/USD is riskier than the ZAR/USD. The computed VaR estimates for losses of $0.07, $0.09, and $0.16 per dollar …
Persistent link: https://www.econbiz.de/10014334466
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Value at risk estimation for heavy tailed distributions
Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125
Persistent link: https://www.econbiz.de/10010241908
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Testing for multiple regimes in the tail behavior of emerging currency returns
Candelon, Bertrand; Straetmans, Stefan - In: Journal of international money and finance 25 (2006) 7, pp. 1187-1205
Persistent link: https://www.econbiz.de/10003394359
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Testing for multiple regimes in the tail behavior of emerging currency returns
Candelon, Bertrand; Straetmans, Stefan - 2003
Persistent link: https://www.econbiz.de/10001882761
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Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011410313