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Exchange Rate Modeling and Forecasting

(Autor)

Buch | Softcover
350 Seiten
2023
Routledge (Verlag)
978-0-415-89099-1 (ISBN)
54,85 inkl. MwSt
This book can be used as a text or reference resource in empirical international finance. It covers the empirical implementation of exchange rate and currency risk models and techniques, exploring methods used by practitioners and central bankers.
Exchange Rate Modeling and Forecasting presents the main empirical developments in the exchange rate modelling literature from a practitioner’s perspective. The author examines in detail how various international finance theories can be econometrically tested, and gives examples of the current state-of-the-art methods used by practitioners in this field. The book covers the empirical implementation of the leading macroeconomic exchange rate models, the basic currency risk modeling techniques, and empirical exchange rate microstructure models. It also explores the leading methods used by practitioners and central bankers to extract exchange rate expectations from currency options.

Marian Micu is the Senior Vice President at FXFI, Portfolio Management Group, BlackRock, and a Lecturer in Finance in the Masters of Financial Engineering Program at Haas Business School, University of California Berkeley, USA.

1. Foreign Exchange Market: Institutions and Instruments 2. Currency Prediction with Traditional Macroeconomic Models 3. Monetary Policy and the Exchange Rate Behaviour 4. Foreign Exchange Microstructure Models 5. Modelling Exchange Rate Expectation with Currency Derivatives 6. Quantitative Methods for Currency Investing 7. Modelling and Forecasting the Exchange Rate Volatility 8 FX Risk Factors and Currency Crises

Erscheint lt. Verlag 31.12.2023
Zusatzinfo 40 Tables, black and white; 25 Line drawings, black and white; 15 Illustrations, black and white
Verlagsort London
Sprache englisch
Maße 152 x 229 mm
Themenwelt Wirtschaft Betriebswirtschaft / Management Finanzierung
Wirtschaft Betriebswirtschaft / Management Rechnungswesen / Bilanzen
Wirtschaft Betriebswirtschaft / Management Unternehmensführung / Management
Wirtschaft Volkswirtschaftslehre Ökonometrie
ISBN-10 0-415-89099-3 / 0415890993
ISBN-13 978-0-415-89099-1 / 9780415890991
Zustand Neuware
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