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rdf:type
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Description
| - Financial markets are very sensitive to all kinds of risk. Immediately after any unexpected announcement the volatility of market returns is suddenly increased and market prices can potentially fall down. However, the announcement can influence prices of only some assets, while prices of others remain stable. It follows that a different risk type indicates a need for distinct methods of risk modelling, measuring and managing. The purpose of this paper is to identify if there is any similarity in risk estimation model performance across European FX rate market. We have documented that among the FX rates in study, the worst results were obtained for CHF. Moreover, there are important similarities in the occurrence of exceptions among Central European markets.
- Financial markets are very sensitive to all kinds of risk. Immediately after any unexpected announcement the volatility of market returns is suddenly increased and market prices can potentially fall down. However, the announcement can influence prices of only some assets, while prices of others remain stable. It follows that a different risk type indicates a need for distinct methods of risk modelling, measuring and managing. The purpose of this paper is to identify if there is any similarity in risk estimation model performance across European FX rate market. We have documented that among the FX rates in study, the worst results were obtained for CHF. Moreover, there are important similarities in the occurrence of exceptions among Central European markets. (en)
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Title
| - Risk estimation and backtesting at European FX rate market
- Risk estimation and backtesting at European FX rate market (en)
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skos:prefLabel
| - Risk estimation and backtesting at European FX rate market
- Risk estimation and backtesting at European FX rate market (en)
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skos:notation
| - RIV/61989100:27510/11:86079352!RIV12-MSM-27510___
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http://linked.open...avai/riv/aktivita
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http://linked.open...avai/riv/aktivity
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http://linked.open...vai/riv/dodaniDat
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http://linked.open...aciTvurceVysledku
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http://linked.open.../riv/druhVysledku
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http://linked.open...iv/duvernostUdaju
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http://linked.open...titaPredkladatele
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http://linked.open...dnocenehoVysledku
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http://linked.open...ai/riv/idVysledku
| - RIV/61989100:27510/11:86079352
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http://linked.open...riv/jazykVysledku
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http://linked.open.../riv/klicovaSlova
| - FX rate risk, backtesting, Lévy models (en)
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http://linked.open.../riv/klicoveSlovo
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http://linked.open...ontrolniKodProRIV
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http://linked.open...v/mistoKonaniAkce
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http://linked.open...i/riv/mistoVydani
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http://linked.open...i/riv/nazevZdroje
| - Finanční řízení podniků a finančních institucí. Sborník příspěvků z 8. mezinárodní vědecké konference
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http://linked.open...in/vavai/riv/obor
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http://linked.open...ichTvurcuVysledku
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http://linked.open...cetTvurcuVysledku
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http://linked.open...UplatneniVysledku
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http://linked.open...iv/tvurceVysledku
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http://linked.open...vavai/riv/typAkce
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http://linked.open.../riv/zahajeniAkce
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number of pages
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http://purl.org/ne...btex#hasPublisher
| - Vysoká škola báňská - Technická univerzita Ostrava
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https://schema.org/isbn
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http://localhost/t...ganizacniJednotka
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