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Currency crises prediction and contagion effects measurement using a nested logit model

Yan, Kit-ming - 2002

Persistent link: https://www.econbiz.de/10003780522

Predicting Pegged Exchange Rate Currency Collapse : A Literature Review

Goldberg, David - 2017

This paper is a literature review of the current literature on currency “de-pegging”. The paper covers up-to-date literature on forces that drive countries to remove pegs. This paper covers mostly macroeconomic fundamentals of historic pegged currencies, and presents the most prominent...

Persistent link: https://www.econbiz.de/10012948097

Währungskrisen in Emerging Markets : Aufbau eines Frühwarnsystems

Jessen, Owe - 2006 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003359370

Optimal combination of currency strategies

Laborda, Ricardo - In: The North American journal of economics and finance : a … 43 (2018), pp. 129-140

Persistent link: https://www.econbiz.de/10012036271

Predicting speculative attacks in central Europe

Kittelmann, Kristina; Tirpak, Marcel - 2004

Persistent link: https://www.econbiz.de/10002620744

Fitting and Forecasting Sovereign Defaults Using Multiple Risk Signals

Savona, Roberto - 2011

In this paper we face the fitting versus forecasting paradox with the objective of realizing an optimal Early Warning System to better describe and predict past and future sovereign defaults. We do this by proposing a new Regression Tree-based model that signals a potential crisis whenever...

Persistent link: https://www.econbiz.de/10013117928

Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Persistent link: https://www.econbiz.de/10013097543

Out-of-Sample Exchange Rate Predictability with Real-Time Data

Ince, Onur - 2019

This paper evaluates short-run out-of-sample exchange rate predictability with real-time data for 15 OECD countries from 1973 to 2013. We consider the Taylor rule fundamentals model, where the variables that enter the Taylor rule are used to forecast exchange rate changes, and the Taylor rule...

Persistent link: https://www.econbiz.de/10012903719

Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals

Molodtsova, Tanya - 2009

An extensive literature that studied the performance of empirical exchange rate models following Meese and Rogoff's (1983a) seminal paper has not convincingly found evidence of out-of-sample exchange rate predictability. This paper extends the conventional set of models of exchange rate...

Persistent link: https://www.econbiz.de/10012764841

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

Persistent link: https://www.econbiz.de/10013013057

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