Andere Kunden interessierten sich auch für
![Exchange Rate Volatility of Some Major Currencies in the World]( "Exchange Rate Volatility of Some Major Currencies in the World")
Exchange Rate Volatility of Some Major Currencies in the World32,99 €![Modelling and Forecasting Volatility of Exchange Rates]( "Modelling and Forecasting Volatility of Exchange Rates")
Modelling and Forecasting Volatility of Exchange Rates44,99 €![MODELING AND FORECASTING CANADIAN DOLLAR TO NAIRA EXCHANGE RATE USING]( "MODELING AND FORECASTING CANADIAN DOLLAR TO NAIRA EXCHANGE RATE USING")
MODELING AND FORECASTING CANADIAN DOLLAR TO NAIRA EXCHANGE RATE USING29,99 €![Exchange Rate Prediction using Support Vector Machines]( "Exchange Rate Prediction using Support Vector Machines")
Exchange Rate Prediction using Support Vector Machines38,99 €![Estimation in Conditionally Heteroscedastic Time Series Models]( "Estimation in Conditionally Heteroscedastic Time Series Models")
Estimation in Conditionally Heteroscedastic Time Series Models42,99 €![Study of the impact of factors on returns on financial assets]( "Study of the impact of factors on returns on financial assets")
Study of the impact of factors on returns on financial assets29,99 €![Studio dell'impatto dei fattori sui rendimenti delle attività finanziarie]( "Studio dell'impatto dei fattori sui rendimenti delle attività finanziarie")
Studio dell'impatto dei fattori sui rendimenti delle attività finanziarie29,99 €
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.