相关论文: Tail Behaviour of the Euro

This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical…

On Jan. 1, 1999 the European Union introduced a common currency Euro ($EUR$), to become the legal currency in all eleven countries which form the $EUR$. In order to test the $EUR$ behavior and understand various features, the $EUR$ exchange…

Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies…

This paper empirically evaluates whether adopting a common currency has changed the level of consumption smoothing of euro area member states. We construct a counterfactual dataset of macroeconomic variables through the synthetic control…

The Euro (EUR) has been a currency introduced by the European Community on Jan. 01, 1999. This implies eleven countries of the European Union which have been found to meet the five requirements of the Maastricht convergence criteria. In…

Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial…

In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many models for…

An empirical analysis on Eurodollar interest rates daily data in the time period 1990-1996, is performed and compared with Libor data in the time period 1984-1998. The complementary cumulative distributions for the daily fluctuations at…

The aim of this paper is to dig deeper into understanding the exchange rates and uncertainty dependence. Using the novel Baker et al. (2020)'s daily Twitter Uncertainty Index and BRICS exchange rates, we investigate their extreme tail…

This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic foundations, which identifies difference…

Tail risk protection is in the focus of the financial industry and requires solid mathematical and statistical tools, especially when a trading strategy is derived. Recent hype driven by machine learning (ML) mechanisms has raised the…

We investigate topology and temporal evolution of the foreign currency exchange market viewed from a weighted network perspective. Based on exchange rates for a set of 46 currencies (including precious metals), we construct different…

Applying a modification of Extreme value Theory (thanks to a dual distribution technique by the authors on data over the past 2,500 years, we show that pandemics are extremely fat-tailed in terms of fatalities, with a marked potentially…

This paper proposes an empirical test of financial contagion in European equity markets during the tumultuous period of 2008-2011. Our analysis shows that traditional GARCH and Gaussian stochastic-volatility models are unable to explain two…

This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed transactions rather…

We analyze tick data of yen-dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to…

We analyze structure of the world foreign currency exchange (FX) market viewed as a network of interacting currencies. We analyze daily time series of FX data for a set of 63 currencies, including gold, silver and platinum. We group…

The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…

In this paper, we investigate risk measures such as value at risk (VaR) and the conditional tail expectation (CTE) of the extreme (maximum and minimum) and the aggregate (total) of two dependent risks. In finance, insurance and the other…

The aim of the present article is to offer a strictly mathematical, statistical treatment of the current account balances in EU and in the Eurozone. Based on Eurostat data, an overview of the total and annual balances is first made for…