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Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange
Bowsher, Clive G. - Economics Group, Nuffield College, University of Oxford - 2004
Functional Signal plus Noise (FSN) time series models are introduced for the econometric analysis of the dynamics of a large cross-section of prices in which contemporaneous observations are functionally related. A semiparametric FSN model is developed in which a smooth, cubic spline signal...
Persistent link: https://www.econbiz.de/10005687558
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Comparison of approaches for value-at-risk estimation of foreign exchange portfolios
Rimarčík, Marián - In: Politická ekonomie 2005 (2005) 3, pp. 323-336
considered. Since foreign exchange portfolio consists of linear instruments, historical simulation and the variance …. With minimal degree of simplification we can say that variance-covariance method using exponentially weighted averages with … outcome. RiskMetrics variance-covariance approach was dominant in spite of violation of normality assumption. …
Persistent link: https://www.econbiz.de/10005036597