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Analyzing and modelling exchange rate data using VAR framework

Abstract   In this report analysis of foreign exchange rates time series are performed. First, triangular arbitrage is detected and eliminated from data series using linear algebra tools. Then Vector Autoregressive processes are calibrated and used to replicate dynamics of exchange rates as well as to forecast time series. Finally, optimal portfolio of currencies with minimal Expected Shortfall is formed using one time period ahead forecasts

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kth-94180
Date January 2012
CreatorsSerpeka, Rokas
PublisherKTH, Matematik (Inst.)
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess
RelationTrita-MAT, 1401-2286 ; 13

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