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Persistent Dependence In Foreign Exchange Rates? A Reexamination, Atreya Chakraborty
Persistent Dependence In Foreign Exchange Rates? A Reexamination, Atreya Chakraborty
Atreya Chakraborty
We test for stochastic long-memory behavior in the returns series of currency rates for eighteen industrial countries using a semiparametric fractional estimation method. A sensitivity analysis is also carried out to analyze the temporal stability of the longmemory parameter. Contrary to the findings of some previous studies alluding to the presence of long memory in major currency rates, our evidence provides wide support to the martingale model (and therefore for foreign exchange market efficiency) for our broader sample of foreign currency rates. Any inference of long-range dependence is fragile, especially for the major currency rates. However, long-memory dynamics are found …
The Key To Risk Management: Management, Adrian E. Tschoegl
The Key To Risk Management: Management, Adrian E. Tschoegl
Adrian E Tschoegl
The Barings, Daiwa Bank and Sumitomo Corp. financial debacles in the mid-1990s suggest that management failures rather than misfortune, errors, or complexity are a major source of the risk of financial debacles. These errors are systematic and are a concommittant of the structure of trading and of human nature. Risk management systems must take these facts into account. Two years after this chapter first appeared in the first edition, John Rusnak, a trader at Allied Irish Bank’s US subsidiary lost US$691m in unauthorized trading.