Overnight exchange rate risk based on multi-quantile and joint-shock CAViaR models
Wei Peng, Yufeng Zeng
| Year of publication: |
2019
|
|---|---|
| Authors: | Peng, Wei ; Zeng, Yufeng |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 80.2019, p. 392-399
|
| Subject: | Exchange markets | Overnight risk | Value at risk | Risikomaß | Risk measure | Währungsrisiko | Exchange rate risk | Risiko | Risk | Risikomanagement | Risk management | Theorie | Theory | Devisenmarkt | Foreign exchange market | Wechselkurs | Exchange rate | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2018.11.023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012200766