Browsing School of Pure and Applied Sciences by Author "Waititu, Antony G"
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Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates
Omari, Cyprian O.; Mwita, Peter N.; Waititu, Antony G (IOP Publishing, 2017)This paper implements different approaches used to compute the one-day Value-at-Risk (VaR) forecast for a portfolio of four currency exchange rates. The concepts and techniques of the conventional methods considered in ...