Browsing by Subject "Currency exchange rate"

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Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic-Extreme Value Theory- Copula model

Omari, Cyprian O.; Mwita, Peter N.; Gichuhi, Antony W. (Machakos University, 2018-04)

This paper implements the statistical modelling of the dependence structure of bivariate currency exchange rates using the concept of copulas. The GARCH-EVT-Copula model is applied to estimate the portfolio Value-at-Risk ...