Browsing Postprints (Articles) by Subject "Value at risk (VaR)"

Browsing Postprints (Articles) by Subject "Value at risk (VaR)"

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  • Oil tail risk and the tail risk of the US Dollar exchange rates 
    Salisu, Afees A.; Olaniran, Abeeb; Tchankam, Jean Paul (Elsevier, 2022-05)
    This study tests both the in-sample and out-of-sample predictive value of oil tail risk for the tail risk of US Dollar exchange rates (USD/CAD, USD/GBP and USD/JPY), where the conditional autoregressive value at risk ...