Long Head-Runs and Long Match Patterns

Embrechts, Paul; Novak, Sergei Yur'evich

doi:10.1007/978-3-662-04790-3_3

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How Risky Is Investing In Mexico?1

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2007

2011

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“…The number of clusters with lengths ≥ k has approximately Poisson distribution with parameter n/100 k (see the recent survey Embrechts and Novak [11]). In the case of weekly data, n/100 2 ≈ 0.07 is the average number of clusters of two or more consecutive weekly falls beyond 1%-VaR.…”

Section: How Risky Is Investing In Mexico?mentioning

confidence: 99%

Evaluating Currency Risk in Emerging Markets

2007

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We present a systematic approach to the problem of evaluating currency risk. The approach involves a test for stationarity, and a method of estimating Value-at-Risk (VaR) and Expected Shortfall (ES) from dependent heavy-tailed data. Various estimation methods are compared and the accuracy of the approach is discussed. An application of the technique to the Mexican peso/US dollar exchange rate reveals the level of currency risk foreign investors face in Mexico.

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Section: How Risky Is Investing In Mexico?mentioning

confidence: 99%