Essays about: "Foreign Exchange Spot"
Showing result 1 - 5 of 12 essays containing the words Foreign Exchange Spot.
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1. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models
University essay from Linköpings universitet/ProduktionsekonomiAbstract : The global foreign exchange (FX) market is one of the world's largest financial markets and a significant part of this market concerns the trading of FX swaps. For banks and other financial institutions, it is of great interest to model these swaps as accurately as possible, as this could improve their risk management. READ MORE
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2. Modeling the yield curve in conjunction with the FX spots
University essay from Umeå universitet/Institutionen för fysikAbstract : Interest rates and foreign exchange spots are widely used within financial products. It is important to understand the risk arising from products that depend on interest rates and/or foreign exchange spots. READ MORE
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3. Intraday Seasonality in EUR/SEK Returns
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In this thesis the intraday seasonality in the EUR/SEK spot returns are investigated after the returns have been filtered from intraday volatility. This is done with five-minute returns from year 2007 to 2019. The returns are filtered using the Flexible Fourier Form regression and then intraday seasonality is tested using an ARMAX-GARCH model. READ MORE
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4. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET
University essay from Uppsala universitet/Statistiska institutionenAbstract : This thesis has treated the subject of DCC-GARCH model’s forecasting ability and Value-at- Risk applications on the Scandinavian foreign exchange market. The estimated models were based on daily opening foreign exchange spot rates in the period of 2004-2013, which captured the information in the financial crisis of 2008 and Eurozone crisis in the early 2010s. READ MORE
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5. Exploring the Factors of the Credit Default Swap Spread in Different Business Sectors
University essay from KTH/Matematisk statistikAbstract : In this study, we investigate the effect of market factors on credit default swap spreads aggregated by specific business sectors. The market factors include commodity spot prices, foreign exchange spot prices, equity index prices and interest swap rates. READ MORE