Showing 41 - 50 of 194
Persistent link: https://www.econbiz.de/10008893130
This paper examines the dynamic dependence structure between Chinese Yuan and each of ve other currencies in the Asia-Paci fic region on non-deliverable forward contracts over the period of July 4, 2006 throughout August 31, 2011. Using the date that Lehman Brothers led for bankruptcy as the...
Persistent link: https://www.econbiz.de/10013088303
A new method which is based on the Hill plot is proposed to determine an appropriate threshold in the POT (Peaks Over Threshold) model. Different from the traditional Hill plot method, the proposed method can determine the threshold by quantification, and is easy to be implemented by a computer...
Persistent link: https://www.econbiz.de/10012730046
Persistent link: https://www.econbiz.de/10009725686
In this paper, we shall propose a useful approach to evaluate concretely the MEMM (minimal entropy martingale measure) for the typical geometric Lévy processes such as compound Poisson, stable, VG (Variance Gamma), CGMY (Carr-Geman-Madan-Yor), NIG (Normal Inverse Gaussian), etc. In addition, we...
Persistent link: https://www.econbiz.de/10003855665
Persistent link: https://www.econbiz.de/10005016396
In order to cope with daily foreign currency exchange payments or trades and avoid liquidity crisis, central banks need to maintain the liquidity of foreign exchange reserves. In this paper, we develop a Foreign Exchange Reserves Liquidity Management (FERLM) model based on stochastic process by...
Persistent link: https://www.econbiz.de/10010636278
Persistent link: https://www.econbiz.de/10010088086
Persistent link: https://www.econbiz.de/10012213009
Persistent link: https://www.econbiz.de/10013361461