Showing 1 - 3 results of 3 for search '"extreme value theory"', query time: 0.06s Refine Results
  1. 1
    The Generalised Pareto Distribution Model Approach to Comparing Extreme Risk in the Exchange Rate Risk of BitCoin/US Dollar and South African Rand/US Dollar Returns

    The Generalised Pareto Distribution Model Approach to Comparing Extreme Risk in the Exchange Rate Risk of BitCoin/US Dollar and South African Rand/US Dollar Returns by Thabani Ndlovu, Delson Chikobvu

    Published 2023-05-01
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  2. 2
    Comparing riskiness of exchange rate volatility using the Value at Risk and Expected Shortfall methods

    Comparing riskiness of exchange rate volatility using the Value at Risk and Expected Shortfall methods by Thabani Ndlovu, Delson Chikobvu

    Published 2022-07-01
    “…The risks calculated are tail-related measures, so the Extreme Value Theory is used to capture extreme risk more accurately. …”
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  3. 3
    A Wavelet-Decomposed WD-ARMA-GARCH-EVT Model Approach to Comparing the Riskiness of the BitCoin and South African Rand Exchange Rates

    A Wavelet-Decomposed WD-ARMA-GARCH-EVT Model Approach to Comparing the Riskiness of the BitCoin and South African Rand Exchange Rates by Thabani Ndlovu, Delson Chikobvu

    Published 2023-07-01
    “…In this paper, a hybrid of a Wavelet Decomposition–Generalised Auto-Regressive Conditional Heteroscedasticity–Extreme Value Theory (WD-ARMA-GARCH-EVT) model is applied to estimate the Value at Risk (VaR) of BitCoin (BTC/USD) and the South African Rand (ZAR/USD). …”
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    Article

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