Open AccessForecasting Value-at-Risk of Financial Markets under the Global Pandemic of COVID-19 Using Conditional Extreme Value Theory
Author(s) -
Cyprian Ondieki Omari,
Simon Mundia,
Immaculate Ngina
Publication year - 2020
Publication title -
journal of mathematical finance
Language(s) - English
Resource type - Journals
eISSN - 2162-2434
pISSN - 2162-2442
DOI - 10.4236/jmf.2020.104034
Subject(s) - value at risk , econometrics , extreme value theory , volatility clustering , economics , volatility (finance) , heteroscedasticity , financial market , financial economics , autoregressive conditional heteroskedasticity , stock (firearms) , risk management , statistics , finance , mathematics , geography , archaeology