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Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic-Extreme Value Theory- Copula model
(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 ...
Consistency of the Model Order Change-Point Estimator for GARCH Models
(Machakos University, 2018-04)
GARCH models have been commonly used to capture volatility dynamics in financial time series.
A key assumption utilized is that the series is stationary as this allows for model identifiability.
This however violates the ...
Exponentiated Generalized Geometric Burr Iii Distribution
(Machakos University, 2018-04)
Statistical distributions play a major role in parametric statistical modeling and inference.
However, most of the existing classical distributions do not provide reasonable parametric fits to
data sets. Thus, the need ...
Performance of Imputation Methods towards Increasing Percentage of Missing Values
(Machakos University, 2018-04)
The aim of this paper is to study the performance of eightdifferent existing imputation
methodsused on simulatedand real dataset. The methods are compared in term of their ability to
estimate the missing observationsand ...
Nonparametric Prediction Interval for Conditional Expected Shortfall Admittinga Location-Scale Model using Bootstrap Method
(Machakos University, 2019-04)
Infinancialriskmanagement,theexpectedshortfallisapopularriskmeasurewhichisoften considered as an alternative to Value-at-Risk. It is defined as the conditional expected loss given that the loss is greater than a given ...