Value-at-risk for the USD/ZAR exchange rate: The Variance-Gamma model
A country’s level of exchange risk is closely linked to its financial stability, on a macro-economic scale. South African exchange rates, in particular, have a significant impact on imports, inflation, consumer prices and monetary policies. Consequently, it is imperative for economists and investors...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2015-11-01
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| Series: | South African Journal of Economic and Management Sciences |
| Online Access: | https://sajems.org/index.php/sajems/article/view/966 |