The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates
Year of publication: |
2018
|
---|---|
Authors: | Fink, Holger ; Fuest, Andreas ; Port, Henry |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 6.2018, 3, p. 1-19
|
Publisher: |
Basel : MDPI |
Subject: | value-at-risk | GARCH | yield curve | functional data | PCA |
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