Jumps in foreign exchange rates and stochastic unwinding of carry trades
Makoto Nirei; Vladyslav Sushko
| Year of publication: |
2011
|
|---|---|
| Authors: | Nirei, Makoto ; Sushko, Vladyslav |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 20.2011, 1, p. 110-127
|
| Subject: | Stochastic games | Herd behavior | Fat tails | Foreign exchange | Financial risk and risk management | Theorie | Theory | Risikomanagement | Risk management | Stochastischer Prozess | Stochastic process | Herdenverhalten | Herding | Währungsrisiko | Exchange rate risk | Devisenmarkt | Foreign exchange market | Wechselkurs | Exchange rate | Volatilität | Volatility | Währungsspekulation | Currency speculation | Stochastisches Spiel | Stochastic game | Portfolio-Management | Portfolio selection | Finanzrisiko | Financial risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009304196