Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis-Reference-Cited by-同舟云学术

Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis

Published:2022-11-03 Issue: Volume: Page:
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Afuecheta Emmanuel,Okorie Idika E.,Nadarajah Saralees^ORCID,Nzeribe Geraldine E.

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

https://link.springer.com/content/pdf/10.1007/s10614-022-10340-9.pdf

Reference72 articles.

1. Adi, A. A. (2019). Modeling exchange rate return volatility of RMB/USD using GARCH family models. Journal of Chinese Economic and Business Studies, 17, 169–187. https://doi.org/10.1080/14765284.2019.1600933

2. Adıgüzel Mercangöz, B. (2021). Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics. Springer, Cham.https://doi.org/10.1007/978-3-030-54108-8_12

3. African Economic Outlook. (2021). https://www.afdb.org/en/knowledge/publications/african-economic-outlook

4. Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19, 716–723. https://doi.org/10.1109/TAC.1974.1100705

5. Anderson, T. W., & Darling, D. A. (1954). A test of goodness of fit. Journal of the American Statistical Association, 49, 765–769. https://doi.org/10.2307/2281537

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Extreme risk spillovers in RMB exchange rates: The role of categorical economic policy uncertainties;International Review of Economics & Finance;2024-07