منابع مشابه
MultiFractality in Foreign Currency Markets
The standard hypothesis concerning the behavior of asset returns states that they follow a random walk in discrete time or a Brownian motion in continuous time. The Brownian motion process is characterized by a quantity, called the Hurst exponent, which is related to some fractal aspects of the process itself. For a standard Brownian motion (sBm) this exponent is equal to 0.5. Several empirical...
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The 1heoretical na1ure of risk premiums in roreign currency futures markets is derived and s1udied empirically. Eslimation problems encountered in using futures da1a are discussed. Since forward rates and fu1ures prices have been found to be approximately equal, and because risk premiums in forward markets are highly variable, consistency of the data requires time variation in daily risk premiu...
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The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and cross-currency options, which is capable of accommodating existing empirical regularities. The paper generalizes the GARCH option pricing methodology of Duan (1995) to a two-country setting. Specifically, we assume a bivariate nonlinear GARCH system for the exchange rate and the fo...
متن کاملForeign Currency Lending - Borrower or Bank Driven?
Given current concerns on foreign currency exposures in emerging economies, we examine the currency denomination of bank loans. We compare the currency requested by borrowers and the currency decision subsequently made by a bank in Bulgaria prior to the current crisis. We analyze more than hundred thousand loans to sixty thousand different firms granted during the period 2003-2007. We relate th...
متن کاملTheoretical and Operational Study to Allocate Foreign Currency through Exchange
One of the most important policies concerning the adjustment of foreign trade is to allocate foreign currency by establishing an exchange control system. The mechanism of this would be so that the Central Bank operates or supervises all transactions concerning foreign exchange. However, the controlling system, like all other international systems of payment, operates with some adjustments and i...
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ژورنال
عنوان ژورنال: Problems of Legality
سال: 2019
ISSN: 2414-990X,2224-9281
DOI: 10.21564/2414-990x.144.156506