Narrow search
Showing 1 - 10 of 2,640
Cover Image
Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate
Pincheira, Pablo; Jarsun, Nabil - 2020
-value theory for exchange rate determination and on the strong co-movement displayed by some commodity prices. The Chilean economy …
Persistent link: https://www.econbiz.de/10015229382
Cover Image
Forecasting Base Metal Prices with Commodity Currencies
Pincheira, Pablo; Hardy, Nicolas - 2018
zinc. The economic relationship hinges on the present-value theory for exchange rates, a floating exchange rate regime and …
Persistent link: https://www.econbiz.de/10015258752
Cover Image
Superkurtosis
Degiannakis, Stavros; Filis, George; Siourounis, Grigorios - 2019
implemented, VaR or ES deliver estimates in line with what the theory predicts. We show, however, that when UHFT is considered …, assuming finite higher order moments, potential losses are much bigger than what the theory predicts, and they increase …-tailed distribution, tend to have higher sample moments than the theory suggests - we call this phenomenon superkurtosis. Our findings …
Persistent link: https://www.econbiz.de/10015259102
Cover Image
Superkurtosis
Degiannakis, Stavros; Filis, George; Siourounis, Grigorios - 2021
theory predicts, and they increase exponentially as the trading frequency increases - a phenomenon we call superkurtosis …
Persistent link: https://www.econbiz.de/10015259104
Cover Image
Superkurtosis
Degiannakis, Stavros; Filis, George; Siourounis, Grigorios - 2019
Very little is known on how traditional risk metrics behave in ultra high frequency trading (UHFT). We fi�ll this void �firstly by examining the existence of the intraday returns moments, and secondly by assessing the impact of their (non)existence in a risk management framework. We show...
Persistent link: https://www.econbiz.de/10015264291
Cover Image
Superkurtosis
Degiannakis, Stavros; Filis, George; Siourounis, Grigorios - 2019
implemented, VaR or ES deliver estimates in line with what the theory predicts. We show, however, that when UHFT is considered …, assuming finite higher order moments, potential losses are much bigger than what the theory predicts, and they increase …-tailed distribution, tend to have higher sample moments than the theory suggests - we call this phenomenon superkurtosis. Our findings …
Persistent link: https://www.econbiz.de/10015265411
Cover Image
Jump Processes in Exchange Rates Modeling
Bunčák, Tomáš - 2013
This text presents a study of various models based on jump processes in the context of foreign exchange (FX) rates modeling. Quality of FX rate log-returns fit is assessed for models such as Merton and Kou jump-diffusions, normal inverse Gaussian, variance gamma, and Meixner. The study is...
Persistent link: https://www.econbiz.de/10015238773
Cover Image
Jump Processes in Exchange Rates Modeling
Bunčák, Tomáš - 2013
This text presents a study of various models based on jump processes in the context of foreign exchange (FX) rates modeling. Quality of FX rate log-returns fit is assessed for models such as Merton and Kou jump-diffusions, normal inverse Gaussian, variance gamma, and Meixner. The study is...
Persistent link: https://www.econbiz.de/10015239608
Cover Image
The Mean Squared Prediction Error Paradox
Pincheira, Pablo; Hardy, Nicolas - 2021
In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...
Persistent link: https://www.econbiz.de/10015241474
Cover Image
Banks exposure to market risks
Galy, Michel - 1989
Maturity transformation coupled with open foreign exchange positions expose financial intermediaries to unexpected changes in interest and exchange rates. This paper proposes to measure the degree of banks exposure to market risks by taking the variance of the total differential of the bank...
Persistent link: https://www.econbiz.de/10015246418