Application of GARCH and EVT in Exchange Rate Risk Estimation
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Application of GARCH and EVT in Exchange Rate Risk Estimation (2016)
DE PB NW RPISBN: 9783330002890 bzw. 3330002891, in Deutsch, LAP Lambert Academic Publishing Nov 2016, Taschenbuch, neu, Nachdruck.
Lieferung aus: Deutschland, Versandkostenfrei.
Von Händler/Antiquariat, AHA-BUCH GmbH [51283250], Einbeck, Germany.
This item is printed on demand - Print on Demand Neuware - This book focused on estimation of extreme risk in financial time series data. The conditional Value at Risk and Conditional Expected Shortfall have been applied to estimate extreme risk in exchange rate returns. The Generalized Auto-regressive Conditional Heteroskedasticity (GARCH) model is applied to estimate current volatility in daily returns and Extreme Value Theory (EVT) approach is applied to estimate quantiles of innovations. Therefore, the estimated Volatility and quantiles are combined to obtain conditional Value at risk and conditional expected shortfall estimates. The results are applied to real data to estimate extreme risk in Rwanda Exchange rate process. 104 pp. Englisch.
Von Händler/Antiquariat, AHA-BUCH GmbH [51283250], Einbeck, Germany.
This item is printed on demand - Print on Demand Neuware - This book focused on estimation of extreme risk in financial time series data. The conditional Value at Risk and Conditional Expected Shortfall have been applied to estimate extreme risk in exchange rate returns. The Generalized Auto-regressive Conditional Heteroskedasticity (GARCH) model is applied to estimate current volatility in daily returns and Extreme Value Theory (EVT) approach is applied to estimate quantiles of innovations. Therefore, the estimated Volatility and quantiles are combined to obtain conditional Value at risk and conditional expected shortfall estimates. The results are applied to real data to estimate extreme risk in Rwanda Exchange rate process. 104 pp. Englisch.
2
Application of GARCH and EVT in Exchange Rate Risk Estimation
EN NWISBN: 9783330002890 bzw. 3330002891, in Englisch, neu.
Lieferung aus: Deutschland, Versandfertig in 2 - 3 Tagen.
Application of GARCH and EVT in Exchange Rate Risk Estimation, This book focused on estimation of extreme risk in financial time series data. The conditional Value at Risk and Conditional Expected Shortfall have been applied to estimate extreme risk in exchange rate returns. The Generalized Auto-regressive Conditional Heteroskedasticity (GARCH) model is applied to estimate current volatility in daily returns and Extreme Value Theory (EVT) approach is applied to estimate quantiles of innovations. Therefore, the estimated Volatility and quantiles are combined to obtain conditional Value at risk and conditional expected shortfall estimates. The results are applied to real data to estimate extreme risk in Rwanda Exchange rate process.
Application of GARCH and EVT in Exchange Rate Risk Estimation, This book focused on estimation of extreme risk in financial time series data. The conditional Value at Risk and Conditional Expected Shortfall have been applied to estimate extreme risk in exchange rate returns. The Generalized Auto-regressive Conditional Heteroskedasticity (GARCH) model is applied to estimate current volatility in daily returns and Extreme Value Theory (EVT) approach is applied to estimate quantiles of innovations. Therefore, the estimated Volatility and quantiles are combined to obtain conditional Value at risk and conditional expected shortfall estimates. The results are applied to real data to estimate extreme risk in Rwanda Exchange rate process.
3
Application of GARCH and EVT in Exchange Rate Risk Estimation
DE HC NWISBN: 9783330002890 bzw. 3330002891, in Deutsch, Lap Lambert Academic Publishing, gebundenes Buch, neu.
Lieferung aus: Deutschland, Versandkostenfrei innerhalb von Deutschland.
This book focused on estimation of extreme risk in financial time series data. The conditional Value at Risk and Conditional Expected Shortfall have been applied to estimate extreme risk in exchange rate returns. The Generalized Auto-regressive Conditional Heteroskedasticity (GARCH) model is applied to estimate current volatility in daily returns and Extreme Value Theory (EVT) approach is applied to estimate quantiles of innovations. Therefore, the estimated Volatility and quantiles are combined This book focused on estimation of extreme risk in financial time series data. The conditional Value at Risk and Conditional Expected Shortfall have been applied to estimate extreme risk in exchange rate returns. The Generalized Auto-regressive Conditional Heteroskedasticity (GARCH) model is applied to estimate current volatility in daily returns and Extreme Value Theory (EVT) approach is applied to estimate quantiles of innovations. Therefore, the estimated Volatility and quantiles are combined to obtain conditional Value at risk and conditional expected shortfall estimates. The results are applied to real data to estimate extreme risk in Rwanda Exchange rate process. Lieferzeit 1-2 Werktage.
This book focused on estimation of extreme risk in financial time series data. The conditional Value at Risk and Conditional Expected Shortfall have been applied to estimate extreme risk in exchange rate returns. The Generalized Auto-regressive Conditional Heteroskedasticity (GARCH) model is applied to estimate current volatility in daily returns and Extreme Value Theory (EVT) approach is applied to estimate quantiles of innovations. Therefore, the estimated Volatility and quantiles are combined This book focused on estimation of extreme risk in financial time series data. The conditional Value at Risk and Conditional Expected Shortfall have been applied to estimate extreme risk in exchange rate returns. The Generalized Auto-regressive Conditional Heteroskedasticity (GARCH) model is applied to estimate current volatility in daily returns and Extreme Value Theory (EVT) approach is applied to estimate quantiles of innovations. Therefore, the estimated Volatility and quantiles are combined to obtain conditional Value at risk and conditional expected shortfall estimates. The results are applied to real data to estimate extreme risk in Rwanda Exchange rate process. Lieferzeit 1-2 Werktage.
4
Symbolbild
Application of GARCH and EVT in Exchange Rate Risk Estimation (2016)
DE PB NW RPISBN: 9783330002890 bzw. 3330002891, in Deutsch, Uitgever onbekend, Taschenbuch, neu, Nachdruck.
Lieferung aus: Deutschland, Versandkostenfrei.
Von Händler/Antiquariat, English-Book-Service Mannheim [1048135], Mannheim, Germany.
This item is printed on demand for shipment within 3 working days.
Von Händler/Antiquariat, English-Book-Service Mannheim [1048135], Mannheim, Germany.
This item is printed on demand for shipment within 3 working days.
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