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exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility … lower own funds requirements for credit institutions. However, in the exponential weighting a high volatility in the past is …
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In this companion paper to Broll and Mukherjee (2017), we empirically analyse how exchange rate volatilities affect firms optimal production and exporting decisions. The firms elasticity of risk aversion determines the direction of the impact of exchange rate risk on exports. Based on a flexible...
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exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility … lower own funds requirements for credit institutions. However, in the exponential weighting a high volatility in the past is …
Persistent link: https://www.econbiz.de/10012289413