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Flavius Darie
Pág. 103 - 117
This study investigates whether different specifications of univariate GARCH models can usefully forecast volatility on the foreign exchange market. The study uses only forecasts from an asymmetric GARCH model, namely Exponential GARCH (EGARCH) for CHF/R...
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Brian D. Deaton
Probability forecasts of the Swiss franc/euro (CHF/EUR) exchange rate are generated before, surrounding and after the placement of a floor on the CHF/EUR by the Swiss National Bank (SNB). The goal is to determine whether the exchange rate floor has a pos...
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Daniel Broby,Raphael Faessler,Milenko Josavac,Christophe Dehut
Pág. 1270 - 1286
We investigate the diversification benefits of adding Switzerland to a Eurozone equity portfolio, both before and after the removal of Swiss franc peg to the euro. We use a mean-variance portfolio framework to compare the benchmark indices in the Eurozon...
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Sebastien Lleo and William T. Ziemba
Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are th...
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Sudi Apak,Vedat Akman,Serkan Çankaya,Sitki Sonmezer
Pág. 1 - 8
This paper attempts to analyze the relation among gold prices and other macroeconomic and financial variables and addresses the question whether gold is a safe haven or a hedge for investors. The study investigates the relationship by using an econometri...
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