Modeling Value-at-Risk of a Mongolian Exchange Rae (MNT/USD) using the GARCH type model in Python
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Updated
Mar 13, 2023 - HTML
Modeling Value-at-Risk of a Mongolian Exchange Rae (MNT/USD) using the GARCH type model in Python
Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger Causality."
Code for the case studies and theoretical visualizations for the master thesis 'Estimation and Backtesting of the Expected Shortfall and Value at Risk using Vine Copulas'
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