Overnight exchange rate risk based on multi-quantile and joint-shock CAViaR models
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 | Währungsrisiko | Exchange rate risk | Risikomaß | Risk measure | Risiko | Risk | Theorie | Theory | Devisenmarkt | Foreign exchange market | Wechselkurs | Exchange rate | Risikomanagement | Risk management |
-
The Hill estimator in financial risk assessment and an application to extremal exchange rate risk
Wagner, Niklas F., (2002)
-
Carry trades and tail risk of exchange rates
Ganepola, Chanaka N., (2014)
-
The tail risk premia of the carry trades
Dupuy, Philippe, (2015)
- More ...
-
Dynamic governance : embedding culture, capabilities and change in Singapore
Neo, Boon Siong, (2007)
-
The graduate and skills labour markets : dimensions of manpower management
Chen, Geraldine, (1996)
-
Measuring population health by a multi-attribute health status classification system
Wang, Qinan, (1997)
- More ...