Technical paper/Foreign exchange

• Infrastructure

Pay attention to interest

Masterclass – with JP Morgan

• 01 Oct 2003

• Currency markets

Extreme forex moves

What is the appropriate statistical description of tail risk in a market portfolio? In the context offoreign exchange, Peter Blum and Michel Dacorogna address this problem using extreme valuetheory. Using 20 years of data, they estimate parameters for an…

• 01 Feb 2003

• Infrastructure

In praise of bar data

Forex markets

• 02 Sep 1999

• Infrastructure

Optional events and jumps

Masterclass – with JP Morgan

• 01 Sep 1999