Chinese Currency Exchange Rates Analysis: Risk Management, Forecasting and Hedging Strategies (Routledge Advances in Risk Management)

Cover -- Half Title -- Title Page -- Copyright Page -- Table of Contents -- List of Figures -- List of Tables -- Preface -- Chapter 1: Chinese currency exchange market: An overview -- 1.1: Introduction to Chinese currency exchange market -- 1.2: The development of the Chinese yuan exchange rate policy -- National economy recovery period (1949-1952) -- Command economy period (1953-1980) -- Economy transition period (1981-1993) -- Market mechanism period (1994- ) -- 1.3: Introduction to Chinese onshore and offshore exchange markets -- Chapter 2: Interrelationship between RMB markets -- 2.1: Introduction -- 2.2: Methodology (vector autoregression model) -- 2.3: Empirical results -- 2.4: Conclusion -- Chapter 3: Chinese exchange market crisis: Warning and identification based on Markov regime switching model -- 3.1: Introduction -- 3.2: Methodology -- 3.2.1: Markov switching model -- 3.2.2: Empirical mode decomposition (EMD) -- 3.3: Model estimation -- 3.4: Empirical analysis -- 3.5: Conclusion -- Chapter 4: Forecasting the renminbi exchange rate with an EMD-based neural network -- 4.1: Introduction -- 4.2: Methodology -- 4.2.1: Artificial neural network (ANN) -- 4.2.2: Empirical mode decomposition (EMD) -- 4.2.3: Overall forecasting process and model notations -- 4.3: Empirical experiments -- 4.3.1: Data -- 4.3.2: Experimental results -- 4.3.3: Applying the trading strategy -- 4.4: Conclusion -- Notes -- Chapter 5: Hedging currency risk -- 5.1: Introduction -- 5.2: Methodology -- 5.2.1: Currency hedging -- 5.2.2: Assets allocation -- 5.2.3: Sharpe ratio -- 5.2.4: Economic benefit -- 5.3: Empirical studies -- 5.3.1: Data and statistics descriptions -- 5.3.2: Equal-weighted portfolios -- 5.3.3: Optimal-weighted portfolios -- 5.3.4: Further evidence -- 5.4: Conclusion -- Notes -- References -- Index

• | Author: Jiangze Du, Jying-Nan Wang, Kin Keung Lai, Chao Wang
• | Publisher: Routledge
• | Publication Date: Sep 06, 2017
• | Number of Pages: 110 pages
• | Language: English
• | Binding: Hardcover
• | ISBN-10: 1138041262
• | ISBN-13: 9781138041264