Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data
This thesis aims at implementing and evaluating the performance of multivariate Expected Shortfall models on high frequency foreign exchange data. The implementation is conducted with a unique portfolio consisting of five foreign exchange rates; EUR/SEK, EUR/NOK, EUR/USD, USD/SEK and USD/NOK. High f...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematisk statistik
2016
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-191004 |