相关论文: Tail Behaviour of the Euro

Daily ETF risk monitoring can become unreliable when market data quality degrades, market conditions shift, or predictive performance becomes unstable. This paper develops a reliability-aware risk monitoring service for next-day tail-risk…

Is the elasticity of intertemporal substitution (EIS) more or less than one? This question can be answered by confronting theoretical results of asset pricing models with investor behaviour during episodes of stock market panic. If we…

This paper reports empirical evidence that a neural networks model is applicable to the statistically reliable prediction of foreign exchange rates. Time series data and technical indicators such as moving average, are fed to neural nets to…

Two decades of research on the euro's trade effects have produced estimates ranging from 4% to 30%, with no consensus on the magnitude. We find evidence that this divergence may reflect genuine heterogeneity in the euro's trade effect…

We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar(US/EUR) using a combination of both statistical and spectral techniques. This has been…

We examine the problem of dynamic reserving for risk in multiple currencies under a general coherent risk measure. The reserver requires to hedge risk in a time-consistent manner by trading in baskets of currencies. We show that reserving…

The Foreign Exchange market is a significant market for speculators, characterized by substantial transaction volumes and high volatility. Accurately predicting the directional movement of currency pairs is essential for formulating a sound…

An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world however, Taylor rule parameters may be subject to structural instabilities, for example during the Global Financial…

We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental…

The Growth-at-Risk (GaR) framework has garnered attention in recent econometric literature, yet current approaches implicitly assume a constant Pareto exponent. We introduce novel and robust econometrics to estimate the tails of GaR based…

We construct a data-driven statistical indicator for quantifying the tail risk perceived by the EURGBP option market surrounding Brexit-related events. We show that under lognormal SABR dynamics this tail risk is closely related to the…

This paper proposes a new measure of tail risk spillover. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector to many real economy sectors in the U.S. economy in the…

One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…

Although Bitcoin has long been dominant in the crypto scene, it is certainly not alone. Ether is another cryptocurrency related project that has attracted an intensive attention because of its additional features. This study seeks to test…

We propose a transformation capable of altering the tail properties of a distribution, motivated by extreme value theory, which can be used as a layer in a normalizing flow to approximate multivariate heavy tailed distributions. We apply…

We use the P&L on a particular class of swaps, representing variance and higher moments for log returns, as estimators in our empirical study on the S&P500 that investigates the factors determining variance and higher-moment risk premia.…

Tail dependence refers to clustering of extreme events. In the context of financial risk management, the clustering of high-severity risks has a devastating effect on the well-being of firms and is thus of pivotal importance in risk…

We study tail risk dynamics in high-frequency financial markets and their connection with trading activity and market uncertainty. We introduce a dynamic extreme value regression model accommodating both stationary and local unit-root…

Identifying behavior that is relatively invariant under different conditions is a challenging task in far-from-equilibrium complex systems. As an example of how the existence of a semi-invariant signature can be masked by the heterogeneity…

Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years,…