Essays about: "exchange rate forward rate"

Showing result 1 - 5 of 22 essays containing the words exchange rate forward rate.

1. 1. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Ludvig Ehrenpreis; Eriksson Oscar; [2023]
   Keywords : term structure measurement; optimization; foreign exchange swaps; interest rates; FX; model comparison; FX swap models;

   Abstract : 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

3. 2. Fractional Cointegration and Price Discovery in FX Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Johan Faxner; [2023]
   Keywords : exchange rates; price discovery; fractional cointegration; market microstructure; covered interest rate parity;

   Abstract : I employ bivariate fractionally cointegrated vector autoregressive models to analyze price discovery on the EUR/GBP market. Using daily spot rates between 2010 and 2022 along with corresponding one-month and three-month forward rates, I extract parameter estimates for pairwise long-run relationships, each pair containing a spot and a forward. READ MORE

4. 3. Impact of Forward-Looking Macroeconomic Information on Expected Credit Losses According to IFRS 9

   University essay from KTH/Matematik (Avd.)

   Author : Christian Corfitsen; [2021]
   Keywords : IFRS 9; Expected credit loss; ECL; VAR; Vector Autoregression; Forecasting; Impulse Response Analysis; Forecast Error Variance Decomposition; IFRS 9; Expected credit loss; ECL; VAR; Vektorautoregression; Prognostisering; Impulsresponsanalys; Forecast error variance decomposition;

   Abstract : In this master thesis, the impact of forward-looking macroeconomic information under IFRS 9 is studied using fictional data from a Swedish mortgage loan portfolio. The study employs a time series analysis approach and employs vector autoregression models to model expected credit loss parameters with multiple incorporated macroeconomic parameters. READ MORE

5. 4. Forecasting the USD/SEK exchange rate using deep neural networks

   University essay from Lunds universitet/Matematisk statistik

   Author : Thomas Hamfelt; [2019]
   Keywords : Neural networks; Deep Learning; Foreign Exchange; Finance; Mathematics and Statistics;

   Abstract : This thesis is about predicting the average ten minute closing bid price of the USD/SEK exchange rate by applying deep learning methods. First, the time lag method is applied for the vanilla Feedforward Neural Network (FNN) to undertake one-step prediction. READ MORE

6. 5. Empirical evidence of stock return predictability using macroeconomic variables

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jonatan Gustafsson; Carl Ferm; [2018]
   Keywords : Granger Causality; Predictive Regressions; Trading Strategies; Macroeconomic Variables; Repo Rate;

   Abstract : We investigate whether macroeconomic variables can predict returns of the OMXS30 index in the short run, and if an investor can generate abnormal profits from using the variables with significant predictive power. Granger causality tests, along with a predictive OLS regression framework show that the first difference of the repo rate and the log difference in exchange rates significantly Granger cause stock returns on the Swedish market. READ MORE