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Statements

Subject Item
n2:RIV%2F61989100%3A27510%2F12%3A86083102%21RIV13-MSM-27510___
rdf:type
n8:Vysledek skos:Concept
dcterms: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.
dcterms: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
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
skos:notation
RIV/61989100:27510/12:86083102!RIV13-MSM-27510___
n8:predkladatel
n9:orjk%3A27510
n3:aktivita
n10:S
n3:aktivity
S
n3:cisloPeriodika
5
n3:dodaniDat
n11:2013
n3:domaciTvurceVysledku
n12:3252833 n12:3188701 n12:3165302
n3:druhVysledku
n4:J
n3:duvernostUdaju
n17:S
n3:entitaPredkladatele
n15:predkladatel
n3:idSjednocenehoVysledku
160522
n3:idVysledku
RIV/61989100:27510/12:86083102
n3:jazykVysledku
n13:eng
n3:klicovaSlova
market; world; information; innovative; arrival; depict; models; lévy; subordinated; power
n3:klicoveSlovo
n5:models n5:arrival n5:l%C3%A9vy n5:market n5:information n5:innovative n5:power n5:world n5:depict n5:subordinated
n3:kodStatuVydavatele
PK - Pákistánská islámská republika
n3:kontrolniKodProRIV
[5A4260CD4855]
n3:nazevZdroje
Pakistan Journal of Statistics
n3:obor
n14:BB
n3:pocetDomacichTvurcuVysledku
3
n3:pocetTvurcuVysledku
3
n3:rokUplatneniVysledku
n11:2012
n3:svazekPeriodika
28
n3:tvurceVysledku
Sznapková, Barbora Tichý, Tomáš Stiborová, Eliška
n3:wos
000311885200024
s:issn
1012-9367
s:numberOfPages
15
n16:organizacniJednotka
27510