Rokas Serepka: Analyzing and modelling exchange rate data using VAR framework
Time: Thu 2012-05-03 09.15 - 10.00
Location: Seminarierum 3721, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 7.
Contact:
Tobias Rydén
08-7908469
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. Finally, optimal portfolio of currencies with minimal Expected Shortfall is formed using one time period ahead forecasts.