Sökning: "FX spots"

Hittade 2 uppsatser innehållade orden FX spots.

1. 1. Fractional Cointegration and Price Discovery in FX Markets

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Johan Faxner; [2023]
   Nyckelord :exchange rates; price discovery; fractional cointegration; market microstructure; covered interest rate parity;

   Sammanfattning : I employ bivariate fractionally cointegrated vector autoregressive models to analyze price discovery on the EUR/GBP market. Using daily spot rates between 2010 and 2022 along with corresponding one-month and three-month forward rates, I extract parameter estimates for pairwise long-run relationships, each pair containing a spot and a forward. LÄS MER

3. 2. Modeling the yield curve in conjunction with the FX spots

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

   Författare :Philip Lundqvist; [2022]
   Nyckelord :Yield Curve; FX spots; Bootstrap; Hull-White; Simulation; Calibration;

   Sammanfattning : Interest rates and foreign exchange spots are widely used within financial products. It is important to understand the risk arising from products that depend on interest rates and/or foreign exchange spots. LÄS MER