Tid: 3 maj 2012 kl 09.15-10.00.

Föredragshållare: Rokas Serepka

Titel: Analyzing and modeling exchange rate data using VAR framework. (Examensarbete - Master thesis)

Abstract 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.

The full report (pdf)

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