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Forecasting Value-at-Risk (VaR) in the Major Asian Economies (Articles)

Faisal Nazir Zargar, Dilip Kumar

Theoretical Economics Letters Vol.8 No.9，June 12, 2018

DOI: 10.4236/tel.2018.89100 865 Downloads 2,078 Views Citations
This article belongs to the Special Issue on Financial Modeling
Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models (Articles)

Anthony Ngunyi, Simon Mundia, Cyprian Omari

Journal of Mathematical Finance Vol.9 No.4，October 17, 2019

DOI: 10.4236/jmf.2019.94030 1,498 Downloads 3,977 Views Citations
The Predictive Performance of Extreme Value Analysis Based-Models in Forecasting the Volatility of Cryptocurrencies (Articles)

Cyprian Omari, Anthony Ngunyi

Journal of Mathematical Finance Vol.11 No.3，August 5, 2021

DOI: 10.4236/jmf.2021.113025 346 Downloads 1,576 Views Citations
Value at Risk and Expected Shortfall for Normal Weighted Inverse Gaussian Distributions (Articles)

Calvin B. Maina, Patrick G. O. Weke, Carolyne A. Ogutu, Joseph A. M. Ottieno

Journal of Mathematical Finance Vol.12 No.1，January 11, 2022

DOI: 10.4236/jmf.2022.121002 264 Downloads 1,224 Views Citations
Value at Risk and Expected Shortfall for Normal Variance Mean Mixtures of Finite Weighted Inverse Gaussian Distributions (Articles)

Calvin B. Maina, Patrick G. O. Weke, Carolyne A. Ogutu, Joseph A. M. Ottieno

Journal of Mathematical Finance Vol.12 No.1，February 16, 2022

DOI: 10.4236/jmf.2022.121010 238 Downloads 1,132 Views Citations
Predicting Conditional Autoregressive Value-at-Risk for Stock Markets during Tranquil and Turbulent Periods (Articles)

Anastassios A. Drakos, Georgios P. Kouretas, Leonidas Zarangas

Journal of Financial Risk Management Vol.4 No.3，September 30, 2015

DOI: 10.4236/jfrm.2015.43014 5,014 Downloads 7,150 Views Citations
Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic-Extreme Value Theory-Copula Model (Articles)

Cyprian O. Omari, Peter N. Mwita, Antony W. Gichuhi

Journal of Mathematical Finance Vol.8 No.2，May 31, 2018

DOI: 10.4236/jmf.2018.82029 1,267 Downloads 2,774 Views Citations
Forecasting and Backtesting of VaR in International Dry Bulk Shipping Market under Skewed Distributions (Articles)

Qiannan Du

American Journal of Industrial and Business Management Vol.9 No.5，May 22, 2019

DOI: 10.4236/ajibm.2019.95079 582 Downloads 1,561 Views Citations
A General Framework of Optimal Investment (Articles)

Liangliang Zhang

Journal of Mathematical Finance Vol.9 No.3，August 27, 2019

DOI: 10.4236/jmf.2019.93028 1,112 Downloads 2,705 Views Citations
Modelling and Forecasting of Crude Oil Price Volatility Comparative Analysis of Volatility Models (Articles)

Faith Wacuka Ng’ang’a, Meleah Oleche

Journal of Financial Risk Management Vol.11 No.1，March 15, 2022

DOI: 10.4236/jfrm.2022.111008 580 Downloads 5,344 Views Citations
Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates (Articles)

Cyprian O. Omari, Peter N. Mwita, Antony G. Waititu

Journal of Mathematical Finance Vol.7 No.4，November 2, 2017

DOI: 10.4236/jmf.2017.74045 1,786 Downloads 6,448 Views Citations
Forecasting Value-at-Risk of Financial Markets under the Global Pandemic of COVID-19 Using Conditional Extreme Value Theory (Articles)

Cyprian Omari, Simon Mundia, Immaculate Ngina

Journal of Mathematical Finance Vol.10 No.4，October 22, 2020

DOI: 10.4236/jmf.2020.104034 1,397 Downloads 3,967 Views Citations

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