Browsing School of Pure and Applied Sciences by Author "Muema, B."
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Application of Conditional Autoregressive Value at Risk Model to Kenyan Stocks: A Comparative Study
Chacha, Winnie M.; Mwita, Peter N.; Muema, B. (Science Publishing Group, 2017-05-22)Value at Risk (VaR) became the industry accepted measure for risk by financial institutions and their regulators after the Basel I Accords agreement of 1996. As a result, many methodologies of estimating VaR models used ... -
Application of Conditional Autoregressive Value at Risk Model to Kenyan Stocks: A Comparative Study
Chacha, Winnie M.; Mwita, Peter N.; Muema, B. (Science Publishing Group, 2017-05-22)Value at Risk (VaR) became the industry accepted measure for risk by financial institutions and their regulators after the Basel I Accords agreement of 1996. As a result, many methodologies of estimating VaR models used ... -
Smoothed Conditional Scale Function Estimation in AR(1)-ARCH(1) Processes
Seknewna, Lema L.; Mwita, Peter N.; Muema, B. (Hindawi Publishing Corporation, 2018-03-12)The estimation of the Smoothed Conditional Scale Function for time series was taken out under the conditional heteroscedastic innovations by imitating the kernel smoothing in nonparametric QAR-QARCH scheme. The estimation ...