econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our …

This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB … officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We …. In some cases there are effects of statements on the level of the euro-dollar rate. Efforts to talk up the euro have not …

-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance …

perform significantly better in ES estimation. -- ranking ; Value at Risk ; Expected Shortfall ; extreme value theory …