About: The power of subordinated lévy models to depict the arrival of innovative information at world FX market

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: The power of subordinated lévy models to depict the arrival of innovative information at world FX market Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
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 aim of this paper is to identify if there is any similarity in risk estimation model performance across world FX rate market with respect to EUR. In particular, we show that CZK FX rate provide some good level of predictability and that all three considered FX rates from central Europe are well connected as concerns the reaction on unexpected events. 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 aim of this paper is to identify if there is any similarity in risk estimation model performance across world FX rate market with respect to EUR. In particular, we show that CZK FX rate provide some good level of predictability and that all three considered FX rates from central Europe are well connected as concerns the reaction on unexpected events. (en)
Title	The power of subordinated lévy models to depict the arrival of innovative information at world FX market The power of subordinated lévy models to depict the arrival of innovative information at world FX market (en)
skos:prefLabel	The power of subordinated lévy models to depict the arrival of innovative information at world FX market The power of subordinated lévy models to depict the arrival of innovative information at world FX market (en)
skos:notation	RIV/61989100:27510/12:86083102!RIV13-MSM-27510___
http://linked.open...avai/predkladatel	Ekonomická fakulta
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...iv/cisloPeriodika	5
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Tichý, Tomáš Sznapková, Barbora Stiborová, Eliška
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	160522
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/12:86083102
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	market; world; information; innovative; arrival; depict; models; lévy; subordinated; power (en)
http://linked.open.../riv/klicoveSlovo	innovative information market models power world arrival depict lévy subordinated
http://linked.open...odStatuVydavatele	PK - Pákistánská islámská republika
http://linked.open...ontrolniKodProRIV	[5A4260CD4855]
http://linked.open...i/riv/nazevZdroje	Pakistan Journal of Statistics
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	3 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...UplatneniVysledku	2012
http://linked.open...v/svazekPeriodika	28
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš Stiborová, Eliška Sznapková, Barbora
http://linked.open...ain/vavai/riv/wos	000311885200024
issn	1012-9367
number of pages	15 (xsd:int)
http://localhost/t...ganizacniJednotka	27510
is http://linked.open...avai/riv/vysledek of	The power of subordinated lévy models to depict the arrival of innovative information at world FX market

Faceted Search & Find service v1.16.118 as of Jun 21 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 58 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software