The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates
Year of publication: |
September 2018
|
---|---|
Authors: | Fink, Holger Maria ; Fuest, Andreas ; Port, Henry |
Subject: | value-at-risk | GARCH | yield curve | functional data | PCA | Wechselkurs | Exchange rate | Zinsstruktur | Yield curve | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Öffentliche Anleihe | Public bond | Theorie | Theory | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Schätzung | Estimation |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks6030084 [DOI] hdl:10419/195876 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Forecasting tail risk of skewed financial returns having exponential-polynomial tails
Antwi, Albert, (2024)
-
Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl, (2017)
-
Introducing global term structure in a risk parity framework
Stagnol, Lauren, (2017)
- More ...
-
Fink, Holger, (2018)
-
Modeling Liquidity Impact on Volatility : A GARCH-FunXL Approach
Fuest, Andreas, (2017)
-
Econometric modeling of ultra-high frequency volatility-liquidity interactions
Fuest, Andreas, (2015)
- More ...