Evaluating South Africa’s market risk using asymmetric power auto-regressive conditional heteroscedastic model under heavy-tailed distributions

Retius Chifurira; Knowledge Chinhamu

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Crossref Citations

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2. Estimating the value-at-risk of JSE indices and South African exchange rate with Generalized Pareto and stable distributions
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Journal of Economic and Financial Sciences | ISSN: 1995-7076 (PRINT) | ISSN: 2312-2803 (ONLINE)