A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET
This thesis has treated the subject of DCC-GARCH model’s forecasting ability and Value-at- Risk applications on the Scandinavian foreign exchange market. The estimated models were based on daily opening foreign exchange spot rates in the period of 2004-2013, which captured the information in the fin...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Uppsala universitet, Statistiska institutionen
2019
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-375201 |