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3 results for ARMA-GARCH.

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Keyword    ARMA-GARCH

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A Wavelet-ARMA-GARCH Refinement Method to VaR Estimate for Foreign Exchange Market
by Samia Mederessi and Slaheddine Hallara
International Journal of Business and Risk Management. 2018, 1(1), 28-36. DOI: 10.12691/ijbrm-1-1-4
Pub. Date: April 23, 2018Views: 11753Downloads: 10665
Value-at-Risk foreign exchange rate ARMA-GARCH wavelet wavelet decomposed VAR Kupiec backtesting procedures
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Review on Wavelet Denoised Value at Risk and Application on Crude Oil Market
by Samia Mederessi and Slaheddine Hallara
International Journal of Global Energy Markets and Finance. 2018, 1(1), 4-10. DOI: 10.12691/ijgefm-1-1-2
Pub. Date: April 23, 2018Views: 9804Downloads: 9144
Value-at-Risk crude oil ARMA-GARCH Wavelet Wavelet Denoised VaR Kupiec Backtesting procedures
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Volatility Spillover of the Agriculture Sector on the Nairobi Securities Exchange
by Chuchu Michael Nyangasi and John Olukuru
Journal of Finance and Economics. 2017, 5(2), 76-84. DOI: 10.12691/jfe-5-2-5
Pub. Date: April 06, 2017Views: 12256Downloads: 11013
volatility spillovers NSE VARMA-GARCH
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