Author: Giampiero M. GalloPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Time-varying/sing-switching Risk Perception on Foreign Exchange Markets
Author: Giampiero M. GalloTime-varying/sign-switching Risk Perception on Foreign Exchange Markets
Author: Giampiero M. GalloPublisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 56
Book Description
Time-varying Sign-switching Risk Perception on Foreign Exchange Markets
Author: Giampero M. GalloThe Time-variation of Risk and Return in the Foreign Exchange and Stock Markets
Author: Alberto GiovanniniPublisher:
ISBN:
Category : Business enterprises
Languages : en
Pages : 56
Book Description
Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.
Time-varying Risk Premia in Forward Foreign Exchange Markets and Conditional Heteroskedasticity
Author: William Dean LastrapesPublisher:
ISBN:
Category :
Languages : en
Pages : 208
Book Description
Risk-related Asymmetries in Foreign Exchange Markets
Author: Giampiero M. GalloPublisher:
ISBN:
Category : Asymptotic distribution (Probability theory)
Languages : en
Pages : 64
Book Description
The Time Variation of Risk and Return in Foreign Exchange Markets
Author: Geert BekaertPublisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 30
Book Description
Management of Foreign Exchange Risk
Author: Y. C. LumPublisher: Routledge
ISBN: 1000172589
Category : Business & Economics
Languages : en
Pages : 1149
Book Description
This book provides a technical and specialised discussion of contemporary and emerging issues in foreign exchange and financial markets by addressing the issues of risk management and theory and hypothesis development, which have general implications for finance theory and foreign exchange market management. It offers an in-depth, comprehensive analysis of the issues concerning the volatility of exchange rates. The book has three main objectives. First, it applies the integrated study of exchange rate volatility in terms of depth and breadth. Second, it applies the integrated study of exchange rate volatility in Malaysia, as a case study of a developing country. Malaysia had imposed capital control measures in the past and has now liberalised its exchange rate market and will continue to liberalise it further in the long run. Hence, the need to understand exchange rate volatility measurement and management will be even more important in the future. Third, the book highlights new conditional volatility models for a developing country, such as Malaysia, and develops advanced econometric models which have produced results for sound risk management strategies and for achieving risk management in the financial market and the economy. Additionally, the authors recommend risk management themes which may be of relevance to other developing countries. This work can be used as a reference book by fund managers, financial market analysts, researchers, academics, practitioners, policy makers and postgraduate students in the areas of finance, accounting, business and financial economics. It can also be a supplementary text for Ph.D. and Masters’ students in these areas.
Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework
Author: Romain LafarguettePublisher: International Monetary Fund
ISBN: 1513569406
Category : Business & Economics
Languages : en
Pages : 33
Book Description
This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
Time-varying Risk Premium in the Foreign Exchange Market
Author: Pamela H. ChangPublisher:
ISBN:
Category : Foreign exchange market
Languages : en
Pages : 33
Book Description