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Keywords: Random walk
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2023) 40 (1): 175–191.
Published: 04 May 2022
... scenarios based on trends and variability of exchange rates. This study used three currency pairs EUR/CZK, EUR/USD and EUR/JPY for backtesting. Findings In compliance with the backtesting results, the parametric VaR with random walk has been chosen, despite its shortcomings, as the most accurate...
