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MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING

Nwaobi, Godwin - Volkswirtschaftliche Fakultät, … - 2008

, many types of instruments can be used:futures market,spot market, and forward market.However, the degree of volatility …

Persistent link: https://www.econbiz.de/10005619306

Modeling International Financial Returns with a Multivariate Regime Switching Copula

Chollete, Loran; Heinen, Andreas; Valdesogo, Alfonso - Volkswirtschaftliche Fakultät, … - 2008

In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and...

Persistent link: https://www.econbiz.de/10005835854

Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions

Janczura, Joanna; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2009

in MRS models with the standard mean-reverting, constant volatility dynamics. …

Persistent link: https://www.econbiz.de/10008540965

Goodness-of-fit testing for the marginal distribution of regime-switching models

Janczura, Joanna; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2011

In this paper we propose a new goodness-of-fit testing scheme for the marginal distribution of regime-switching models. We consider models with an observable (like threshold autoregressions), as well as, a latent state process (like Markov regime-switching). The test is based on the...

Persistent link: https://www.econbiz.de/10009203622

The Dynamics of Housing Returns in Singapore: How Important are the International Transmission Mechanisms?

Chang, Kuang Liang; Chen, Nan Kuang; Leung, Charles Ka Yui - Volkswirtschaftliche Fakultät, … - 2011

This paper studies the dynamics of housing returns in Singapore. We first extract the movements of Singapore's economic aggregates that are free from foreign (U.S. and rest of the world) factors, and then examine the determinants of its housing returns. We find that both the domestic variables...

Persistent link: https://www.econbiz.de/10009226950

Goodness-of-fit testing for regime-switching models

Janczura, Joanna; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2010

In this paper we propose a novel goodness-of-fit testing scheme for regime-switching models. We consider models with an observable, as well as, a latent state process. The test is based on the Kolmogorov-Smirnov supremum-distance statistic and the concept of the weighted empirical distribution...

Persistent link: https://www.econbiz.de/10008595627

Strategies for Managing Bank’s Legacy Assets:part 2 (of 2) Assessment of strategies and their implementation

Jenk, Justin - Volkswirtschaftliche Fakultät, … - 2015

This two-part working paper series represents a distillation of practical approaches with regard to the successful management of so-called “legacy assets” which include both impaired as well as non-performing loans, particularly in those in the real estate and property sectors. This two-part...

Persistent link: https://www.econbiz.de/10011265335

Input Demand under Joint Energy and Output Prices Uncertainties

Alghalith, Moawia; Guo, Xu; Wong, Wing-Keung; Zhu, Lixing - Volkswirtschaftliche Fakultät, … - 2013

In this paper, we analyze the impacts of joint energy and output prices uncertainties on the inputs demands in a mean-variance framework. We find that an increase in expected output price will surely cause the risk averse firm to increase the inputs’ demand, while an increase in expected...

Persistent link: https://www.econbiz.de/10011259317

Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold

Mensi, Walid; Beljid, Makram; Boubaker, Adel; Managi, … - Volkswirtschaftliche Fakultät, … - 2013

This paper employs a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 … the price behavior of commodity prices and the volatility transmission mechanism between these markets and the stock … return and volatility spillover, the results show significant transmission among the S&P 500 and commodity markets. The past …

Persistent link: https://www.econbiz.de/10011112482

Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach

Voloshyn, Ihor; Voloshyn, Mykyta - Volkswirtschaftliche Fakultät, … - 2013

In this article, on the basis of the "cash flow at risk" approach, the system of the integrated (credit, market, operational and liquidity risks) risk management in a market-maker commercial bank is developed. This system guarantees reaching profitability, liquidity and coverage of banking risks...

Persistent link: https://www.econbiz.de/10011130320