Modeling and forecasting EUR/USD volatility with GARCH models
Fabbri, Gianmarco (A.A. 2019/2020) Modeling and forecasting EUR/USD volatility with GARCH models. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 25. [Master's Degree Thesis]
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Abstract/Index
The exchange rate. Generalized autoregressive conditional heteroskedasticity. News impact curve and asymmetry. Data and methodology. Forecasting and realized variance. Evaluation via loss functions.
References
Bibliografia: pp. 23-24.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Reichlin, Pietro |
| Academic Year: | 2019/2020 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 14 May 2021 08:20 |
| Last Modified: | 14 May 2021 08:20 |
| URI: | https://tesi.luiss.it/id/eprint/29472 |
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