G - Financial Economics

• Steps in Applying Extreme Value Theory to Finance: A Review

  Staff Working Paper 2000-20 Younes Bensalah

  Extreme value theory (EVT) has been applied in fields such as hydrology and insurance. It is a tool used to consider probabilities associated with extreme and thus rare events. EVT is useful in modelling the impact of crashes or situations of extreme stress on investor portfolios.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C0, C4, C5, G, G1

• A Practical Guide to Swap Curve Construction

  Staff Working Paper 2000-17 Uri Ron

  The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism to the government term structure.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, International financial markets JEL Code(s): G, G1, G12, G15

• Volatility Transmission Between Foreign Exchange and Money Markets

  Staff Working Paper 2000-16 Shafiq K. Ebrahim

  This paper uses trivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to study price and volatility spillovers between the foreign exchange and associated money markets. Three models are estimated using data on U.S. dollar/Canadian dollar, U.S. dollar/Deutsche mark, and U.S. dollar/Japanese yen daily exchange rate returns together with returns on 90-day Eurodollar, Euro Canada, Euromark, and Euroyen deposits.

  Content Type(s): Staff research, Staff working papers Topic(s): International financial markets JEL Code(s): G, G1, G15

• Modelling Risk Premiums in Equity and Foreign Exchange Markets

  Staff Working Paper 2000-9 René Garcia, Maral Kichian

  The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): E, E4, E44, F, F3, F31, G, G1, G12, G15