The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates

The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates

A functional ARMA-GARCH model for predicting the value-at-risk of the EURUSD exchange rate is introduced. The model implements the yield curve differentials between EUR and the US as exogenous factors. Functional principal component analysis allows us to use the information of basically the whole yi...

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Bibliographic Details
Main Authors: Holger Fink, Andreas Fuest, Henry Port
Format: Article
Language:English
Published: MDPI AG 2018-08-01
Series:Risks
Subjects:
value-at-risk
GARCH
yield curve
functional data
PCA
Online Access:http://www.mdpi.com/2227-9091/6/3/84

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