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006 m o d
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008 121015s2012 njua ob 001 0 eng d
020 _a9781118445754
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020 _a1118445759
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020 _a9781118445785
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035 _a(OCoLC)812914952
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082 0 4 _a332.4/56
_223
084 _aMAT029000
_2bisacsh
245 0 0 _aHandbook of exchange rates /
_cedited by Jessica James, Ian W. Marsh, Lucio Sarno.
_h[electronic resource]
260 _aHoboken, New Jersey :
_bJohn Wiley & Sons, Inc.,
_c©2012.
300 _a1 online resource (xxviii, 821 pages) :
_billustrations.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _adata file
_2rda
380 _aBibliography
490 1 _aWiley handbooks in financial engineering and econometrics
504 _aIncludes bibliographical references and index.
505 0 _aPart I. Overview. 1. Foreign Exchange Market Structure, Players and Evolution -- 2. Macro Approaches to Foreign Exchange Determination -- 3. Micro Approaches to Foreign Exchange Determination -- 4. The Exchange Rate in a Behavioural Finance Framework -- 5. The Evolution of Exchange Rate Regimes and Some Future Perspective -- Part II. Exchange Rate Models and Methods. 6. Purchasing Power Parity in Economic History -- 7. Purchasing Power Parity in Tradable Goods -- 8. Statistical and Economic Methods for Evaluating Exchange Rate Predictability -- 9. When Are Pooled Panel-Data Regression Forecasts of Exchange Rates More Accurate than the Time-Series Regression Forecasts? -- 10. Carry Trades and Risk -- 11. Currency Fair Value Models -- 12. Technical Analysis in the Foreign Exchange Market 13. Modeling Exchange Rates with Incomplete Information -- 14. Exchange Rates in a Stochastic Discount Factor Framework -- 15. Volatility and Correlation Timing in Active Currency Management -- Part III. FX Markets and Products. 16. Is There a Premium for Currency Investing (Beta) -- 17. Is There Skill or Alpha in Currency Investing? -- 18. Currency Hedging for International Bond and Equity Investors -- 19. FX Reserve Management -- 20. High frequency finance: Using scaling laws to build trading models -- 21. Algorithmic Execution in Foreign Exchange -- 22. Foreign Exchange Strategy Based Products -- 23. Foreign exchange futures, forwards and swaps -- 24. Options and Volatility Derivatives -- Part IV. FX Markets and Policy. 25. A Common Framework for Thinking about Currency Crises -- 26. Official Intervention in the Foreign Exchange Market -- 27. Exchange Rate Misalignment: The Case of the Chinese Renminbi -- 28. Choosing an Exchange Rate Regime.
520 _a"Handbook of Exchange Rates is an impressive compilation of research from more than thirty-five leading researchers and experts on the topic. The book is clearly organized into five succinct sections that explore the foreign exchange (FX) market, from its background and economic foundation to current practices, obstacles, and policies in the modern foreign exchange market. Part I presents an overview of the history of the FX market and exchange rate regimes, the key instruments/players in the FX trading environment, and both macro and micro approaches to FX determination. Next, Part II focuses on forecasting exchange rates, featuring methodological contributions on the sstatistical methods for evaluating forecast performance, parity relationships, fair value models, and flow-based models. Part III treats FX as an asset class, outlining active currency management, currency hedging, hedge accounting, high frequency and algorithmic trading in FX, and FX strategy-based products. Part IV discusses products and pricing in FX, the FX options market, and volatility derivatives. Finally, the book concludes with a section on FX markets and policy, prediction and management of FX crises, FX regimes and policy; regulation in FX market that also features discussion of the effects of exchange rate regime choice on international trade. Each chapter follows the same easy-to-follow format. Following an introduction, a description of theory is presented along with key formulae. Next, the discussed theory is applied to a real data set and accompanied with illustrative descriptions. Exercises and real-world examples from the finance industry are spread throughout each chapter, and a summary provides a brief overview of main points and concepts"--
_cProvided by publisher.
588 0 _aPrint version record.
650 0 _aForeign exchange rates.
650 0 _aForeign exchange.
650 7 _aMATHEMATICS
_xProbability & Statistics
_xGeneral.
_2bisacsh
650 7 _aBUSINESS & ECONOMICS
_xForeign Exchange.
_2bisacsh
650 7 _aForeign exchange.
_2fast
_0(OCoLC)fst00931768
650 7 _aForeign exchange rates.
_2fast
_0(OCoLC)fst00931816
655 4 _aElectronic books.
700 1 _aJames, Jessica,
_d1968-
700 1 _aMarsh, Ian W.,
_d1966-
700 1 _aSarno, Lucio.
776 0 8 _iPrint version:
_tHandbook of exchange rates.
_dHoboken, New Jersey : John Wiley & Sons, Inc., ©2012
_z9780470768839
_w(DLC) 2011052323
_w(OCoLC)769989867
830 0 _aWiley handbooks in financial engineering and econometrics.
856 4 0 _uhttp://onlinelibrary.wiley.com/book/10.1002/9781118445785
_zWiley Online Library
942 _2ddc
_cBK
999 _c206211
_d206211