The power of subordinated lévy models to depict the arrival of innovative information at world FX market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86083102" target="_blank" >RIV/61989100:27510/12:86083102 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
The power of subordinated lévy models to depict the arrival of innovative information at world FX market
Original language description
Financial markets are very sensitive to all kinds of risk. Immediately after any unexpected announcement the volatility of market returns is suddenly increased and market prices can potentially fall down. However, the announcement can influence prices ofonly some assets, while prices of others remain stable. It follows that a different risk type indicates a need for distinct methods of risk modelling, measuring and managing. The aim of this paper is to identify if there is any similarity in risk estimation model performance across world FX rate market with respect to EUR. In particular, we show that CZK FX rate provide some good level of predictability and that all three considered FX rates from central Europe are well connected as concerns the reaction on unexpected events.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Pakistan Journal of Statistics
ISSN
1012-9367
e-ISSN
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Volume of the periodical
28
Issue of the periodical within the volume
5
Country of publishing house
PK - PAKISTAN
Number of pages
15
Pages from-to
777-792
UT code for WoS article
000311885200024
EID of the result in the Scopus database
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