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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 998 Downloads 2,694 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 1,919 Downloads 5,135 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 505 Downloads 2,414 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 416 Downloads 1,846 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 375 Downloads 1,693 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 5,251 Downloads 7,908 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 1,438 Downloads 3,555 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 665 Downloads 2,088 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 1,298 Downloads 3,334 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 787 Downloads 6,724 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 2,373 Downloads 8,707 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 1,724 Downloads 5,026 Views Citations
Forecasting Portfolio Market Risk Using Multivariate GARCH-Vine Copula Approach (Articles)

Valentine Wanjiku Mwai, Cyprian Ondieki Omari, Simon Maina Mundia

Journal of Mathematical Finance Vol.15 No.4, November 7, 2025

DOI: 10.4236/jmf.2025.154031 128 Downloads 1,666 Views Citations

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