Evaluating currency risk in emerging markets

DOI10.1007/S10440-007-9128-8zbMATH Open1116.62116OpenAlexW2044572274MaRDI QIDQ996771FDOQ996771

Violetta Dalla, S. Yu. Novak, L. 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

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zbMATH Keywords

Value-at-RiskCurrency riskEmerging marketsHeavy-tailed data

Mathematics Subject Classification ID

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

Cites Work

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• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Consistent estimation of the memory parameter for nonlinear time series
• Inference on heavy tails from dependent data
• Title not available (Why is that?)

Cited In (2)

• A REMARK CONCERNING VALUE-AT-RISK
• Is Currency Risk Priced in Global Equity Markets?*

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