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Forecasting Value-at-Risk of Financial Markets under the Global Pandemic of COVID-19 Using Conditional Extreme Value Theory
Cyprian Omari,
Simon Mundia,
Immaculate Ngina
J. Math. Finance
Vol.10 No.4, October 22, 2020
DOI:
10.4236/jmf.2020.104034
(PDF 661K)
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Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models
Anthony Ngunyi,
Simon Mundia,
Cyprian Omari
J. Math. Finance
Vol.9 No.4, October 17, 2019
DOI:
10.4236/jmf.2019.94030
(PDF 700K)
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Modeling the Frequency and Severity of Auto Insurance Claims Using Statistical Distributions
Cyprian Ondieki Omari,
Shalyne Gathoni Nyambura,
Joan Martha Wairimu Mwangi
J. Math. Finance
Vol.8 No.1, February 26, 2018
DOI:
10.4236/jmf.2018.81012
(PDF 573K)
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Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates
Cyprian O. Omari,
Peter N. Mwita,
Antony G. Waititu
J. Math. Finance
Vol.7 No.4, November 02, 2017
DOI:
10.4236/jmf.2017.74045
(PDF 2147K)
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Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic-Extreme Value Theory-Copula Model
Cyprian O. Omari,
Peter N. Mwita,
Antony W. Gichuhi
J. Math. Finance
Vol.8 No.2, May 31, 2018
DOI:
10.4236/jmf.2018.82029
(PDF 2504K)
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