Crash risk in currency returns
Mikhail Chernov, Jeremy Graveline, and Irina Zviadadze
| Year of publication: |
February 2018
|
|---|---|
| Authors: | Chernov, Mikhail ; Graveline, Jeremy ; Zviadadze, Irina |
| Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 53.2018, 1, p. 137-170
|
| Subject: | currency speculation | crashes | jumps | entropy | Bayesian MCMC | Währungsspekulation | Currency speculation | Risikoprämie | Risk premium | Finanzkrise | Financial crisis | Theorie | Theory | Währungskrise | Currency crisis | Entropie | Entropy | Bayes-Statistik | Bayesian inference | Risiko | Risk | Markov-Kette | Markov chain | Spekulation | Speculation | Währungsrisiko | Exchange rate risk | Volatilität | Volatility | Kapitaleinkommen | Capital income | Monte-Carlo-Simulation | Monte Carlo simulation | Ökonometrisches Modell | Econometric model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S0022109017000801 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011929414