Nonlinear exchange rate dynamics and its associated Value-at-Risk
Year of publication: |
2013
|
---|---|
Authors: | Laio, Jen-chieh ; Pan, Sheng-chieh ; Wu, Po-chin |
Published in: |
The empirical economics letters : a monthly international journal of economics. - Rajshahi, ISSN 1681-8997, ZDB-ID 2560109-X. - Vol. 12.2013, 7, p. 705-714
|
Subject: | Nonlinear adjustment | Value at Risk (VaR) | Monetary fundamental | Monte Carlo simulation | Risikomaß | Risk measure | Monte-Carlo-Simulation | Wechselkurs | Exchange rate | Theorie | Theory | Nichtlineare Regression | Nonlinear regression | Volatilität | Volatility |
-
Improving quantile forecasts via realized double hysteretic GARCH model in stock markets
Chen, Cathy W. S., (2024)
-
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan, (2021)
-
Karmakar, Madhusudan, (2017)
- More ...
-
Credit scoring model : applications of Copula theory and quantile regression
Wu, Po-chin, (2013)
-
Wu, Po-Chin, (2014)
-
Country Performance Evaluation: The DEA Model Approach
Wu, Po-Chin, (2014)
- More ...