Essays about: "foreign exchange volatility"

Showing result 1 - 5 of 36 essays containing the words foreign exchange volatility.

  1. 1. Exchange Rate and Equity Market Dependence under Shifts in Volatility Expectations

    University essay from Lunds universitet/Matematisk statistik

    Author : Vilhelm Samuelsson; [2023]
    Keywords : Exchange rates; Equity markets; Volatility; ARMA-GARCH; Copula; Exchange rate determination; Safe-haven; Portfolio rebalancing; Return chasing; Mathematics and Statistics;

    Abstract : Exchange rate movements have important implications for both policy makers and investors, as they can have large effects on the real economy and the return on investments. Lately, their relation to capital flows have attracted growing interest due to the failure of macroeconomic fundamentals to explain them. READ MORE

  3. 2. Exchange Rate Regimes and Trade in the Western Balkans

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Clara Falkenek; [2023]
    Keywords : Exchange Rate Regimes; Euro; Western Balkans; Gravity Model; Trade; Business and Economics;

    Abstract : The choice of exchange rate regime is believed to affect countries’ trade levels. Currency unions and currency pegs reduce exchange rate volatility and create greater price transparency in foreign trade compared to a flexible exchange rate regime. READ MORE

  4. 3. Forecasting Value-at-Risk using GARCH(1,1) and Neural Networks as Volatility Estimation Methods – A Comparative Study

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Signe Grönberg; Sofia Nilsson; [2022]
    Keywords : ;

    Abstract : Northvolt was founded in 2015 with the goal to create the world's greenest battery. Today, Northvolt is mainly funded by investors and have suppliers all over the world, which does not come risk free. READ MORE

  5. 4. Pricing Currency Options with Bates Model: Analytical Tractability versus Empirical Misspeci cation

    University essay from Göteborgs universitet/Graduate School

    Author : Oscar Thelander; [2021-02-02]
    Keywords : ;

    Abstract : In this thesis I complement the results from Bates (1996) wherein a Stochastic Volatility Jump-Di usion model for pricing foreign currency options is introduced and evaluated against USD/DM foreign exchange options. I complement Bates results with two di erent calibration methodologies, nonlinear least-squares and the built-in MATLAB function fmincon, using the same dataset that was used in Bates (1996). READ MORE

  6. 5. Strategies for mitigating foreign exchange risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Fredrik Bergman; Markus Rosén; [2021]
    Keywords : FX Risk; FX Exposure; FX Hedging; Cash Flow-at-Risk; Optimal Hedging Strategy; Business and Economics;

    Abstract : Foreign exchange risk management is important for multinational companies since changes in exchange rates can have significant effects on financial results. Following their extensive international operations, Thule Group is one such organization. READ MORE