Evaluating currency risk in emerging markets

DOI10.1007/s10440-007-9128-8zbMath1116.62116OpenAlexW2044572274MaRDI QIDQ996771

Violetta Dalla, Serguei Novak, Liudas Giraitis

Publication date: 19 July 2007

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-007-9128-8

zbMATH Keywords

Value-at-RiskCurrency riskEmerging marketsHeavy-tailed data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Related Items (1)

A REMARK CONCERNING VALUE-AT-RISK

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