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Analyzing and modelling exchange rate data using VAR framework
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).
2012 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]



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

Place, publisher, year, edition, pages
2012. , 19 p.
Trita-MAT, ISSN 1401-2286 ; 13
Keyword [en]
exchange rates, vector autoregressive model, portfolio optimization
National Category
Probability Theory and Statistics
URN: urn:nbn:se:kth:diva-94180OAI: diva2:525720
Subject / course
Mathematical Statistics
Educational program
Master of Science - Mathematics
Physics, Chemistry, Mathematics
Available from: 2012-09-19 Created: 2012-05-09 Last updated: 2012-09-19Bibliographically approved

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ReferencesLink to record
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