Modeling FX Rate with a Novel Heavy Tail Distribution

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F20%3A00374208" target="_blank" >RIV/68407700:21340/20:00374208 - 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

Modeling FX Rate with a Novel Heavy Tail Distribution

Popis výsledku v původním jazyce

An appropriate model of the distribution of returns of exchange rates is important pricing, risk management decisions, and portfolio allocations. Several models have been applied to them so far. However, the results have not been totally satisfactory. To amend the current state, we propose the use of a novel distribution for modeling the returns of exchange rates. This distribution originates from generalized gamma distribution which is regularized and symmetrized to make it fit for return modeling. After these adjustment, the distribution is smooth, differentiable and defined in the whole real domain. It can also capture the well-known heavy tail property of financial asset returns. The suitability of this model is verified on the returns of USD/EUR exchange rate. Verification is performed in an innovative way so that the results can be usable in practical financial engineering. The results of the testing show a promising applicability perspective of this novel distribution.

Název v anglickém jazyce

Modeling FX Rate with a Novel Heavy Tail Distribution

Popis výsledku anglicky

An appropriate model of the distribution of returns of exchange rates is important pricing, risk management decisions, and portfolio allocations. Several models have been applied to them so far. However, the results have not been totally satisfactory. To amend the current state, we propose the use of a novel distribution for modeling the returns of exchange rates. This distribution originates from generalized gamma distribution which is regularized and symmetrized to make it fit for return modeling. After these adjustment, the distribution is smooth, differentiable and defined in the whole real domain. It can also capture the well-known heavy tail property of financial asset returns. The suitability of this model is verified on the returns of USD/EUR exchange rate. Verification is performed in an innovative way so that the results can be usable in practical financial engineering. The results of the testing show a promising applicability perspective of this novel distribution.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proccedings of 38th Int. Conf. MME 2020

ISBN

978-80-7509-734-7

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

326-331

Název nakladatele

Provozně ekonomická fakulta

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

9. 9. 2020

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000668460800050