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Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
Gençay, Ramazan; Ballocchi, Giuseppe; Dacorogna, Michel; … - In: International economic review 43 (2002) 2, pp. 463-492
Persistent link: https://www.econbiz.de/10006034671
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Tail risk: Extreme forex moves What is the appropriate statistical description of tail risk in a market portfolio? In the context of forex, the authors address this problem using extreme value theory.
Blum, Peter; Dacorogna, Michel - In: Risk : managing risk in the world's financial markets 16 (2003) 2, pp. 63-66
Persistent link: https://www.econbiz.de/10007033744
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SHOCK OF THE NEW - Estimating volatility and correlation under normal market conditions is one thing, but how can one distinguish between "normal" markets and abnormal" ones in the grip of some crisis? The authors suggest an empirical approach to tackling this problem.
Zumbach, Gilles; Dacorogna, Michel; Olsen, Jørgen; … - In: Risk : managing risk in the world's financial markets 13 (2000) 3, pp. 110
Persistent link: https://www.econbiz.de/10007051058
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Foreign exchange trading models and market behavior
Gençay, Ramazan; Dacorogna, Michel; Olsen, Richard; … - In: Journal of economic dynamics & control 27 (2003) 6, pp. 909-936
Persistent link: https://www.econbiz.de/10006764039