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Hybrid GARCH-LSTM Forecasting for Foreign Exchange Risk [PDF]
FinTechThis study proposes a hybrid forecasting model that integrates the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a Long Short-Term Memory (LSTM) neural network to estimate Value at Risk (VaR) in the Rwandan foreign exchange
Elysee Nsengiyumva +2 more
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Variance risk premiums in foreign exchange markets [PDF]
Journal of Empirical Finance, 2013 Abstract Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency.
Manuel Ammann, Ralf Buesser
openalex +6 more sources
Investigating the Financial Risk Spillover in Banks Accepted in Tehran Stock Exchange Market through MGARCH Approach [PDF]
تحقیقات مالی, 2021 Objective: Considering the remarkable role of the banking industry in the economies, determining the financial risks and the spillover mechanism between banks is of particular importance.
Mirfeiz Fallah Shams, Abbas Banisharif
doaj +1 more source
Buletin Ekonomi Moneter dan Perbankan, 2023 The use of foreign exchange intervention in an inflation-targeting framework raises the question regarding its role. In addition, in an environment of volatile capital flows, how the risk appetite of foreign investors might impact the economy is worth ...
Alexander Lubis +2 more
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Foreign exchange transaction exposure of enterprises in Serbia [PDF]
Ekonomski Anali, 2016 Enterprises involved in international business face transaction exposure to foreign exchange risk. This type of exposure occurs when an enterprise trades, borrows, or lеnds in foreign currency.
Bogićević Jasmina +2 more
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Foreign exchange risk management case study: RJR NABISCO
Economic Journal of Emerging Markets, 2016 This article presents a case analysis of RJR Nabisco Holdings Corporation's foreign exchange management. The strategy pursued by RJR Nabisco, the two headed-hedging strategy succeded in lowering it's foreign exchange risk.
Primanita Primanita
doaj +7 more sources
Macroeconomic Sources of Foreign Exchange Risk in New EU Members [PDF]
, 2007 We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. The joint distribution of excess returns in the foreign exchange market and the observable macroeconomic factors is modeled using the stochastic ...
Evzen Kocenda, Tigran Poghosyan
core +2 more sources
Analysis and comparison of chosen FX – strategy
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2006 The article is focused on possibilities of profit of chosen FX instruments by proceeding of foreign exchange risk. The foreign exchanges risk affect economic result of each economic subject. The foreign exchanges risk ensue unexpectible change of foreign
Petr Vaníček
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FOREIGN OWNERSHIP, STOCK PERFORMANCE-RISK, AND MACROECONOMIC FACTORS IN ASEAN COUNTRIES
Buletin Ekonomi Moneter dan Perbankan, 2021 This research examines the impact of foreign ownership on stock performance-risk and macroeconomic factors in countries of the Association of Southeast Asian Nations (ASEAN).
Ahmad Maulin Naufa +2 more
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