The power of subordinated lévy models to depict the arrival of innovative information at world FX market

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The power of subordinated lévy models to depict the arrival of innovative information at world FX market

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

The power of subordinated lévy models to depict the arrival of innovative information at world FX market

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Pakistan Journal of Statistics

ISSN

1012-9367

e-ISSN

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Svazek periodika

28

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

PK - Pákistánská islámská republika

Počet stran výsledku

15

Strana od-do

777-792

Kód UT WoS článku

000311885200024

EID výsledku v databázi Scopus

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