Sökning: "Rokas Serpeka"

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1. 1. Analyzing and modelling exchange rate data using VAR framework

   Magister-uppsats, KTH/Matematik (Inst.)

   Författare :Rokas Serpeka; [2012]
   Nyckelord :exchange rates; vector autoregressive model; portfolio optimization;

   Sammanfattning : Abstract   In this report analysis of foreign exchange rates time series are performed. First, triangular arbitrage is detected and eliminated from data series using linear algebra tools. Then Vector Autoregressive processes are calibrated and used to replicate dynamics of exchange rates as well as to forecast time series. LÄS MER