Showing 1 - 10 of 62,671
Persistent link: https://www.econbiz.de/10000878163
the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … over prevailing models for evaluating stock market risk exposure during distressed market periods. -- ARMA-GARCH model ; α …-stable distribution ; tempered stable distribution ; value-at-risk (VaR) ; average value-at-risk (AVaR) …
Persistent link: https://www.econbiz.de/10008653556
Persistent link: https://www.econbiz.de/10003964488
Persistent link: https://www.econbiz.de/10001333819
Persistent link: https://www.econbiz.de/10014631540
Persistent link: https://www.econbiz.de/10014431296
This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for four major currencies based on survey data provided by FX4casts. We consider economic policy, macroeconomic, and financial uncertainty as well as disagreement among CPI...
Persistent link: https://www.econbiz.de/10011532311
Persistent link: https://www.econbiz.de/10003746012