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  • 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 chapter is to identify if there is any similarity in risk estimation model performance across European FX rate market.
  • 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 chapter is to identify if there is any similarity in risk estimation model performance across European FX rate market. (en)
Title
  • Interesting findings about risk estimation and backtesting at European FX rate market
  • Interesting findings about risk estimation and backtesting at European FX rate market (en)
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  • Interesting findings about risk estimation and backtesting at European FX rate market
  • Interesting findings about risk estimation and backtesting at European FX rate market (en)
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  • RIV/61989100:27510/12:86083096!RIV13-MSM-27510___
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  • 142362
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  • RIV/61989100:27510/12:86083096
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  • market; rate; European; backtesting; and; estimation; risk; about; findings; Interesting (en)
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  • [1199F3E99FB5]
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  • London
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  • Financial integration in the European Union
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  • Cielepová, Gabriela
  • Tichý, Tomáš
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  • Routledge
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  • 978-0-415-69076-8
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  • 27510
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