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Chapter 9, Exchange Rate Forecasting
 
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Description Not Provided.
Views: 6271 gopala vasudevan
Exchange Rate Forecasting-4.mp4
 
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Exchange Rate Forecasting-4.mp4
Views: 2054 linda martin
Forecasting Currency Exchange Rates
 
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How to forecast a range for the currency-adjusted returns of investments made in foreign currencies. Demonstrated on USD-GBP. From the book: Strategies for Investing in the S&P 500 Pedersen, M.E.H., Hvass Laboratories Book HL-1501, 2015 http://www.hvass-labs.org/books/#strategies-sp500
Views: 8997 Hvass Laboratories
CFA Level II: Currency Exchange Rates: Determination and Forecasting Part I(of 3)
 
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FinTree website link: http://www.fintreeindia.com FB Page link :http://www.facebook.com/Fin... This series of videos covers the following key areas: the bid-ask spread on a spot or forward foreign currency quotation and describe the factors that affect the bid-offer spread triangular arbitrage opportunity and calculate its profit, given the bid-offer quotations for three currencies spot and forward rates and calculate the forward premium/discount for a given currency mark-to-market value of a forward contract international parity relations Relations among the international parity conditions use of the current spot rate, the forward rate, purchasing power parity, and uncovered interest parity to forecast future spot exchange rates flows in the balance of payment accounts affect currency exchange rates approaches to assessing the long-run fair value of an exchange rate carry trade and its relation to uncovered interest rate parity and calculate the profit from a carry trade carry trade and its relation to uncovered interest rate parity and calculate the profit from a carry trade potential effects of monetary and fiscal policy on exchange rates objectives of central bank intervention and capital controls and describe the effectiveness of intervention and capital controls warning signs of a currency crisis uses of technical analysis in forecasting exchange rates We love what we do, and we make awesome video lectures for CFA and FRM exams. Our Video Lectures are comprehensive, easy to understand and most importantly, fun to study with! This Video lecture was recorded by our popular trainer for CFA, Mr. Utkarsh Jain, during one of his live CFA Level II Classes in Pune (India). CFA Level #CFA #FRM #FinTree
PPP (Purchasing Power Parity) Exchange Rates
 
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PPP (Purchasing Power Parity) Exchange Rates - A video that looks at PPP (purchasing power parity) with respect to exchange rates
Views: 208875 EconplusDal
ACCA F9 Forecasting Foreign Currency Exchange rates
 
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ACCA F9 Forecasting Foreign Currency Exchange rates Free lectures for the ACCA F9 Financial Management To benefit from this lecture, visit opentuition.com to download the free lectures notes used in the lecture and access all our free resources including all F9 lectures, practice tests and Ask the Tutor Forums. http://opentuition.com/acca/f9/ Please go to opentuition to post questions to ACCA F9 Tutor, we do not provide support on youtube. *** Complete list of free ACCA F9 lectures is available on http://opentuition.com/acca/f9/ ***
Views: 8826 OpenTuition
Currency Exchange rate Determination and Forecasting
 
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Training on Currency Exchange rate Determination and Forecasting by Vamsidhar Ambatipudi
Views: 1441 Vamsidhar Ambatipudi
Forecasting Foreign Currency Exchange rates - ACCA Financial Management (FM)
 
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Forecasting Foreign Currency Exchange rates - ACCA Financial Management (FM) *** Complete list of free ACCA FM lectures is available on OpenTuition.com https://opentuition.com/acca/fm/ *** Free lectures for the ACCA Financial Management (FM) Exam To benefit from this lecture, visit opentuition.com/acca to download the notes used in the lecture and access ALL free resources: ACCA lectures, tests and Ask the ACCA Tutor Forums Please go to opentuition to post questions to ACCA Tutor, we do not provide support on youtube.
Views: 2975 OpenTuition
How To Predict A Currency Using Ms. Excel ?
 
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In addition to fast and easy, the results are also accurate. This video will show you how to predict a currency by simply using Ms. Excel. And what you need to know is that the results are incredible.
Views: 1984 EBLC Optimal
Speculative attack on a currency | Foreign exchange and trade | Macroeconomics | Khan Academy
 
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Watch the next lesson: https://www.khanacademy.org/economics-finance-domain/macroeconomics/forex-trade-topic/currency-reserves/v/financial-crisis-in-thailand-caused-by-speculative-attack?utm_source=YT&utm_medium=Desc&utm_campaign=macroeconomics Missed the previous lesson? https://www.khanacademy.org/economics-finance-domain/macroeconomics/forex-trade-topic/currency-reserves/v/using-reserves-to-stablize-currency?utm_source=YT&utm_medium=Desc&utm_campaign=macroeconomics Macroeconomics on Khan Academy: Topics covered in a traditional college level introductory macroeconomics course About Khan Academy: Khan Academy offers practice exercises, instructional videos, and a personalized learning dashboard that empower learners to study at their own pace in and outside of the classroom. We tackle math, science, computer programming, history, art history, economics, and more. Our math missions guide learners from kindergarten to calculus using state-of-the-art, adaptive technology that identifies strengths and learning gaps. We've also partnered with institutions like NASA, The Museum of Modern Art, The California Academy of Sciences, and MIT to offer specialized content. For free. For everyone. Forever. #YouCanLearnAnything Subscribe to Khan Academy's Macroeconomics channel: https://www.youtube.com/channel/UCBytY7pnP0GAHB3C8vDeXvg Subscribe to Khan Academy: https://www.youtube.com/subscription_center?add_user=khanacademy
Views: 125549 Khan Academy
Fin225 Chap 9 Forecasting Exchange Rate with Mind Map Dr George Mochocki
 
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Fin225 Chap 9 Forecasting Exchange Rate with Mind Map Dr George Mochocki
Views: 276 DrMochocki
Chapter 9 Forecasting Exchange Rates
 
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Video ini membahas Chapter 9 Forecasting Exchange Rates dari buku International Financial Management, 7th Edition karya Jeff Madura, Florida Atlantic University. Presentasi PowerPoint® sebagai dasar dari video ini disusun oleh Yee-Tien Fu, National Cheng-Chi University, Taipei, Taiwan. Chapter 9 Forecasting Exchange Rates ini bertujuan untuk: Menjelaskan bagaimana perusahaan memanfaatkan peramalan nilai tukar; Menjelaskan teknik yang umum dipakai untuk peramalan; dan Menjelaskan bagaimana kinerja peramalan dievaluasi
Views: 986 Yuli Andriansyah
THEORIES OF EXCHANGE RATE DETERMINATION (BSE)
 
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Subject : Bussiness Economic Paper : International finance
Views: 8375 Vidya-mitra
Bloomberg Training: FX Forecast Model - www.fintute.com
 
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Interested knowing which way a Forex pair will go? This Bloomberg training tutorial will look at how you can use the Bloomberg terminal to determine future currency directions through one touch pricing.
Views: 12449 Fintute
International Macroeconomics CH4 – The Asset Approach, Feenstra
 
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Chapter 4: The asset approach to exchange rates (SR) - Uncovered interest parity (UIP) - Covered interest parity (CIP) - The asset approach and interest rates in the short term - Unifying the monetary and asset approaches - Fixed exchange rates and the trilemma If you are interested in borrowing the slides used in this video, feel free to comment below once you subscribe to the channel. If you have any questions, please comment below as well. For those interested in the course or the reading materials I am working off, please check out the 2nd edition of the International Economics textbook by Robert C. Feenstra; https://www.amazon.ca/International-Economics-Robert-C-Feenstra/dp/1429231181 For those who may be interested in finance and investing, I suggest you check out my Seeking Alpha profile where I write about the market and different investment opportunities. I conduct a full analysis on companies and countries while also commenting on relevant news stories. http://seekingalpha.com/author/robert-bezede/articles#regular_articles
Views: 3372 FinanceKid
3 Ways To Forecast Currency Changes
 
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Forecast Currency Changes Start your Business Today and change your life , Check this free Gift http://bit.ly/2oMRoPz Now !
Views: 937 THINK & GROW RICH
Forecasting Bitcoin exchange rates with Datagami - Keiran Thompson -  PAPIs.io '14
 
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The first user of the Datagami API built an app to predict Bitcoin prices. We will demo the app and discuss the architecture of the underlying prediction engine. ### The slides for this presentation can be found at http://lanyrd.com/2014/papis2014/sdfytx/ ### For more content like this, sign up to the PAPIs.io newsletter at http://papis.io/#updates
Views: 399 PAPIs.io
International Macroeconomics CH3 – The Monetary Approach, Feenstra
 
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Chapter 3: The monetary approach to exchange rate determinations (LR) - Purchasing power parity (PPP) and law of one price (LOOP) - The real exchange rate - Absolute and relative PPP - Money, prices, and exchange rates in the long run - Money market If you are interested in borrowing the slides used in this video, feel free to comment below once you subscribe to the channel. If you have any questions, please comment below as well. For those interested in the course or the reading materials I am working off, please check out the 2nd edition of the International Economics textbook by Robert C. Feenstra; https://www.amazon.ca/International-Economics-Robert-C-Feenstra/dp/1429231181 For those who may be interested in finance and investing, I suggest you check out my Seeking Alpha profile where I write about the market and different investment opportunities. I conduct a full analysis on companies and countries while also commenting on relevant news stories. http://seekingalpha.com/author/robert-bezede/articles#regular_articles
Views: 4326 FinanceKid
Lecture 6: Modelling Volatility and Economic Forecasting
 
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This is lecture 6 in my Econometrics course at Swansea University. Watch the lecture Live on The Economic Society Facebook page Every Monday 2:00 pm (UK time) between October 2nd and December 2017. http://facebook.com/TheEconomicSociety/ In this lecture, I covered two topics: Modelling volatility and Economic Forecasting Topic 1: Modelling Volatility - Financial time series, such as stock prices, interest rates, foreign exchange rates, often exhibit volatility clustering (periods of turbulence & periods of tranquillity). - Various sources of news and other economic events may have an impact on the time series pattern of asset prices; news can lead to various interpretations, and economic events like an oil crisis can last for some time. So we often observe the large positive and large negative observations in financial time series to appear in clusters. - Such swings in oil prices and credit crises have serious effects. Investors are concerned about the rate of return on their investment, and the risk of investment and the variability or volatility of risk. Therefore, it is important to measure asset price and asset returns volatility. A simple measure of asset return volatility is its variance over time. The variance by itself does not capture volatility clustering. It does not take into account the past history (time-varying volatility). The ARCH Model: - A measure that takes into account the past history (time-varying volatility). In time series data involving asset returns, such as returns on stocks or foreign exchange, we observe autocorrelated heteroscedasticity. Autocorrelated Heteroscedasticity: - Heteroscedasticity, or unequal variance, in cross section data because of the heterogeneity among individual cross-section units. In time series data, we usually observe autocorrelation. In financial data, we observe autocorrelated heteroscedasticity (i.e., heteroscedasticity observed over different periods is autocorrelated). In the literature, this phenomenon called ARCH effect. Drawbacks of ARCH Model: - It requires estimation of the coefficients of p autoregressive terms, which consumes several degrees of freedom. It may be difficult to interpret all the coefficients, especially if some of them are negative. The OLS estimating procedure does not lend itself to estimate the mean and variance function simultaneously. The literature suggests that any model higher than ARCH(3) is better estimated by GARCH. GARCH Model: - Generalised autoregressive conditional heteroscedasticity. We modify the variance equation to get GARCH(1,1) by expressing the conditional variance at time t in terms of the lagged squared error term at time (t − 1), and the lagged variance term at time (t − 1). - It can be shown that ARCH(p) model is equivalent to GARCH(1,1) as p increases. In ARCH(p) we have to estimate (p + 1) coefficients, whereas in GARCH(1,1) model we estimate only 3 coefficients. GARCH(1,1) can be extended to GARCH(p,q) model (p lagged squared error terms, q lagged conditional variance terms). In practice, GARCH(1,1) has proved useful to model returns on financial assets. The GARCH-M Model: - Modify the mean equation by explicitly introducing the risk factor, the conditional variance, to take into account the risk. Topic 2: Economic Forecasting - Based on past and current information, the objective of forecasting is to provide quantitative estimate(s) of the likelihood of the future course of the object of interest (e.g. personal consumption expenditure). We develop econometric models and use one or more methods of forecasting its future course. Methods of Forecasting: - There are several methods of forecasting. We will consider three prominent methods of forecasting: 1. regression models, 2. autoregressive integrated moving average (ARIMA) models [Box–Jenkins (BJ) methodology], 3. vector autoregression (VAR) models (Sims). Point & Interval Forecasts: - In point forecasts we provide a single value for each forecast period. In interval forecasts we obtain a range, or an interval, that will include the realized value with some probability. The interval forecast provides a margin of uncertainty about the point forecast. ex post & ex ante - Estimation period: we have data on all the variables in the model. Ex post forecast period: we also know the values of the regressand and regressors (the holdover period - used to get some idea about the performance of the fitted model) Ex ante forecast we estimate the values of the depend variable beyond the estimation period but we may not know the values of the regressors with certainty. Conditional & Unconditional Forecasts - Conditional forecasts: we forecast the variable of interest conditional on the assumed values of the regressors. Recall that all along we have conducted our regression analysis, conditional on the given values of the regressors.
Views: 7053 Hanomics
Exchange Rate Determination
 
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Free app! Access all videos on this channel by putting myapp.is/Economics%20Diagrams into your phone browser and follow the instructions This video looks at how exchange rates are determined through the supply and demand of a currency in the Foreign Exchange (FOREX) market
Views: 47268 Steve Lobsey
Mini video: Exchange rate determinants in the long run
 
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Using demand and supply to analyze the determinants of exchange rate in the long run
Views: 441 Iris Franz
US Dollar Index Forecast 2019
 
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“We are retaping our futures course live, be part of it, learn more about this once every 3 year opportunity: https://tradeproacademy.com/futures-course-retaping/” In this update, we discuss our 2019 forecast for the US Dollar Index. Find out the fundamental and technical outlooks that we believe will weigh on the US Dollar in the year to come. ----------------------- Get your FREE Trading Course here: http://bit.ly/getfreetradingcourse Want to signup for a TRADEPRO subscription and experience the edge? https://www.tradeproacademy.com/pricing All subscriptions come with a 14 day money back guarantee! Try the world's best trader development risk free. Every morning we trade the US open with our live subscribers. Join us: http://tradeproacademy.com/pricing/ Checkout our professional options trader course, included in the swing trader package here: https://tradeproacademy.com/courses/swing-trader/ Do you want a copy of our 3 secret trading indicators in your email inbox? Get your FREE copy now + BONUS day trading checklist: http://tradeproacademy.com/3secretindicators Subscribe to our channel for FREE daily morning updates at 9AM, and like our video to let us know to keep up the good work. If you want to learn how to trade in the stock market, our beginner foundations course is available in any of our packages, learn more below: https://tradeproacademy.com/courses/trading-foundations-course
Views: 2527 TRADEPRO Academy
Intl Economics - Chapter 12: Exchange Rate Determination
 
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Interest rates and inflation drive a currency’s exchange rate: when combined, both signify a country's relative level of economic health. Currency Exchange rates play a vital role for commercial trade activities. Because of that importance, exchange rates are the most watched, analyzed and governmentally manipulated economic measures. Currency Exchange Rates are also important at the business operations level: as they impact the real return of an investor's portfolio. We will discover some of the major forces behind exchange rate oscillations!
Views: 930 Dr. Bill Schlosser
Inflation and Exchange Rates, James Tompkins
 
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This is the eighth lecture in the "International Finance" series in which my goal is to develop an understanding of how and why relative expected inflation between two countries can serve as a way to forecast the exchange rate. In addition, I discuss inflation policies for countries. As a country, do we prefer high inflation, low inflation, zero inflation, deflation? Why? The purpose of this lecture is to further your understanding of why the dollar and other currencies go up and down in value. As we continue to develop our understanding to this and other international risks, in future lectures we will look at managing this risk and taking advantage of "risk opportunities" that exist out there.
Views: 7974 Understanding Finance
CFA Level 2 Currency Exchange rate Determination and Forecasting   Economics
 
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CFA level 2 training on Economics by Vamsidhar Ambatipudi(IIM Alumnus) at pacegurus
Views: 2153 Vamsidhar Ambatipudi
Exchange Rate Pass-through
 
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The concept of exchange rate pass-through explained
Views: 10097 collegefinance
Determination of foreign exchange rate and foreign exchange market.    Class Xll Economics
 
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In this video I am explaining the topic of determination of foreign exchange rate Change in foreign exchange rate Foreign exchange market Spot market Forward market Plz like and share the video Subscribe my channel to watch more videos of class Xll Economics. If you have any doubt, feel free to ask me at [email protected]
Interest Rate Parity Theory
 
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Install our android app CARAJACLASSES to view lectures direct in your mobile - https://bit.ly/2S1oPM6 Join my Whatsapp Broadcast / Group to receive daily lectures on similar topics through this Whatsapp direct link https://wa.me/917736022001 by simply messaging YOUTUBE LECTURES Did you liked this video lecture? Then please check out the complete course related to this lecture, Forex Management - Detailed Study for CA / CS / CFA Exams with 30+ Lectures, 2+ hours content available at discounted price (10% off)with life time validity and certificate of completion. Enrollment Link For Students Outside India: https://www.udemy.com/financial-management-in-tamil/?couponCode=YTBFMT18 Enrollment Link For Students From India: https://www.instamojo.com/caraja/financial-management-in-tamil/?discount=ytbspl Our website link : https://www.carajaclasses.com Welcome to the course International Finance - A Comprehensive Study. In this course, you will learn about the International Finance and its related aspects covering a) What are Forex Rates? b) What is Bid / Ask / Swap / Spread? c) How to compute Depreciation / Appreciation of Currencies? d) Why Foreign Currency Rates Fluctuates? e) What are Foreign Exchange Risks? f) How to hedge Foreign Currency Transactions through Forward Contracts, Future Contracts and Option Contracts. This course is structured keeping Professional course students in mind like CA / CPA / CFA / CMA / MBA Finance, etc. This course will equip you for approaching those professional examinations. This course is presented in simple language with examples. This course has video lectures (with writings on Black / Green Board / Note book, etc). You would feel you are attending a real class. This course is structured in self paced learning style. You would require good internet connection for interruption free learning process. You have to go through the videos leisurely to grab the concepts with clarity. This course consolidates my other courses on Forex namely • Forex Basics • Forex Rates - Why it fluctuates? • Learn Forex Risk: Understand Forex Decision Making By taking this course, you need not take the above course. Take this course to gain strong hold on International Finance. What are the requirements? • Students should have basic knowledge on Accounting and Financial Management What am I going to get from this course? • Over 37 lectures and 2.5 hours of content! • Understand Basics of International Finance • Understand Technical Terms used in Forex Transactions • Understand Forex Risks • Understand Forex Hedging Mechanism • Understand International Capital Budgeting Methods What is the target audience? • This coursed is structured keeping Professional course students like CA / CPA /CMA / CFA / MBA (Finance) in mind.
Views: 37994 CARAJACLASSES
Mod-01 Lec-13 Exchange Rate Determination and Forecasting
 
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International Finance by Dr. Arun K. Misra, Department of Management, IIT Kharagpur. For more details on NPTEL visit http://nptel.iitm.ac.in
Views: 3678 nptelhrd
How To Download Latest Exchange Rates Into Your Power BI Model
 
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In this tutorial I detail how by querying the web you can download the latest exchange rates in your Power BI reports. This may be important for financial analysis or any cross border reporting. Good luck with this one. Chrs Sam ***** Learning Power BI? ***** FREE COURSE - Ultimate Beginners Guide To Power BI - http://portal.enterprisedna.co/p/ultimate-beginners-guide-to-power-bi FREE COURSE - Ultimate Beginners Guide To DAX - http://portal.enterprisedna.co/p/ultimate-beginners-guide-to-dax FREE - Power BI Resources - http://enterprisedna.co/power-bi-resources FREE - 60 Page DAX Reference Guide Download - https://enterprisedna.co/dax-formula-reference-guide-download/ Learn more about Enterprise DNA - http://www.enterprisedna.co/ Enterprise DNA Membership - https://enterprisedna.co/membership
Views: 2733 Enterprise DNA
Y1/IB 15) Exchange Rate Determination
 
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AS/IB 14) Exchange Rates Determination - An understanding of how exchange rates are determined in a freely floating system in foreign exchange markets for currency (the demand and supply of a currency) Twitter: https://twitter.com/econplusdal Facebook: https://www.facebook.com/EconplusDal-1651992015061685/?ref=aymt_homepage_panel
Views: 58886 EconplusDal
Finding Spot Rate, Forward Rate and Market Forecast of Currency
 
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This Bloomberg video is prepared by Dr Anson Wong (AF), Dr Derek Yim (AF), and Mr William Ho (LIB) from the Hong Kong Polytechnic University, with funding support from UGC Teaching & Learning Project on enhancing information literacy in Hong Kong higher education through the development and implementation of shared interactive multimedia courseware (IL Project) from year 2016-2018.
Views: 1006 Pao Yue-kong Library
#72, Foreign exchange rate (Class 12 macroeconomics)
 
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Class 12 macroeconomics ..... Foreign exchange rate.... Foreign exchange.... Types of foreign exchange rate ..... Depreciation and appreciation of currency.... Contact for my book 7690041256 Economics on your tips video 72 Our books are now available on Amazon - for schools and coaching book orders – 7690041256 - special combo conomics on your tips - Indian economic development + Macro economics https://www.amazon.in/dp/B07SXRX62F/ref=cm_sw_r_cp_apa_i_d97.Cb05CXXWW Economics on your tips - Indian economic development https://www.amazon.in/dp/B07SR5GXCX/ref=cm_sw_r_cp_apa_i_p87.Cb9654K8Y Economics on your tips Macroeconomics https://www.amazon.in/dp/B07R561YKH/ref=cm_sw_r_cp_apa_i_3wVXCbE2Z9DZE Economics on your tips Microeconomics https://www.amazon.in/dp/B0742B8GVG/ref=cm_sw_r_cp_apa_i_K1OiDbN8CQHJ5 - Confused about taking the book ? Watch this video - https://youtu.be/A-H5ynYWGks Official series of playlists UG courses ( bcom, bba, bca, ba, honours) – https://www.youtube.com/playlist?list=PLgC10_Xv-BGirAqOr-hU8e-N_Nz0UpgJ- Micro economics complete course – https://www.youtube.com/playlist?list=PLgC10_Xv-BGg5n3YU6oEV7_HIzBuEbbOz Macro economics complete course- https://www.youtube.com/playlist?list=PLgC10_Xv-BGg2ORORpILqiDR1gyH3MkXw Statistics complete course- https://www.youtube.com/playlist?list=PLgC10_Xv-BGjrAkDyeMioJ7DEexAEeVdt National income – https://www.youtube.com/playlist?list=PLgC10_Xv-BGjpE-1V4uz_0wvvbZQnSsj_ In order to promote us and help us grow Paytm on - 7690041256
Views: 451515 Economics on your tips
Mod-01 Lec-08 Exchange Rate Arithmetic
 
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International Finance by Dr. Arun K. Misra, Department of Management, IIT Kharagpur. For more details on NPTEL visit http://nptel.iitm.ac.in
Views: 64235 nptelhrd
Exchange Rate Determination and Forecasting
 
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Subject: Management Courses: International Finance
Exchange Rates in the Long Run Part I
 
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Videos support University of Alaska Southeast Economics Courses Summarized lecture on Chapter 3 Monetary Model of Exchange Rates in the Long Run
Views: 153 Ann O'Ryan Spehar
Excel - Time Series Forecasting - Part 1 of 3
 
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Part 2: http://www.youtube.com/watch?v=5C012eMSeIU&feature=youtu.be Part 3: http://www.youtube.com/watch?v=kcfiu-f88JQ&feature=youtu.be This is Part 1 of a 3 part "Time Series Forecasting in Excel" video lecture. Be sure to watch Parts 2 and 3 upon completing Part 1. The links for 2 and 3 are in the video as well as above.
Views: 864955 Jalayer Academy
(EViews10) - How to Forecast ARCH Volatility #arch #forecasting #volatility #econometrics #modeling
 
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This video simplifies the understanding of the autoregressive conditional heteroscedasticity (ARCH) using an approach that beginners can grasp. The video series will contain four other tutorials: (1) How to Simulate ARCH model; (2) How to Test for the presence of ARCH Effects; (3) How to Estimate ARCH Models and (4) How to Forecast ARCH Volatility. So, what is ARCH? Autoregressive indicates that heteroscedasticity observed over different time periods may be autocorrelated; conditional informs that variance is based on past errors; heteroscedasticity implies the series displays unequal variance. Popularised by Nobel Prize Winner, Robert F. Engel (1982) Why use ARCH: Models the attitude of investors not only towards expected returns but also towards risk (uncertainty); Relates to economic forecasting and measuring volatility; Techniques  ARCH, ARCH-M, GARCH, GARCH-M, TGARCH and EGARCH; Concerned with modeling the volatility of the variance; Conditional and time-varying variance; Deals with stationary (time-invariant mean) and nonstationary (time-varying mean) variables; Nonstationary  varying mean; Heteroscedastic  varying variance; Concerns financial and macroeconomic time series; Duration  daily, weekly, monthly, quarterly (high frequency data); Financial/economic series  stock prices, oil prices, bond prices, inflation rates, exchange rates, interest rates, GDP, unemployment rates etc. What is conditional variance? The assumption of homoscedasticity (constant variance) is very limiting, hence preferable to examine patterns that allow the variance to depend (conditional) on its history. Volatility: When the values of financial variables change rapidly from time to time in an apparently unpredictable manner. Volatility Clustering: Periods when large changes are followed by further large changes and periods when small changes are followed by further small changes. Shows wild and calm periods. The ARCH Estimator: The presence of ARCH does not affect consistency of OLS. Still has desirable properties under ARCH. OLS yields consistent but inefficient estimates. Estimates of the covariance matrix will be biased. Leading to invalid t-statistics. Remember, these are valid for any form of heteroskedasticity, and ARCH is just one particular form of heteroskedasticity. An efficient estimator is required  maximum likelihood algorithm. Some Lessons Learnt: The time-varying variance is modeled by the procedure called autoregressive conditional heteroscedasticity (ARCH); ARCH simply conveys that the series in question has a time-varying variance (heteroscedasticity) that depends on (conditional on) lagged effects (autocorrelation); ARCH model is intuitively appealing because it explains volatility as a function of the errors. These errors are called “shocks” or “news” by financial analysts. They represent the unexpected!; The larger the shocks, the greater the volatility in the series; Since variance is often used to measure volatility, and volatility is a key element in asset pricing theories, ARCH models have become important in empirical finance; Most financial time series like stock prices, exchange rates, oil prices etc. exhibit random walks in their level form, that is, nonstationary (time-varying means); But stationary at 1st difference which often exhibit wide swings or volatility; Wide swings suggest that the variance of the financial time series changes over time (time-varying volatility); Volatility clustering  big changes in u_t are fed into further big changes in h_t via the lagged effects u_(t-1); ARCH modeling has become increasingly popular; useful for modeling volatility; especially changes in volatility over time (that is, time-varying volatility). Here is the link to the data used: https://www.macmillanihe.com/companion/Asteriou-And-Hall-Applied-Econometrics-3rd-Edition/student-zone/ References and Readings: Asteriou and Hall (2016) Applied Econometrics, 3ed; Hill, Griffiths and Lim (2008) Principles of Econometrics, 3ed; Roman Kozan (2010) Financial Econometrics with EViews; Gujarati and Damodar (2009) Basic Econometrics, International Edition; R. Engle, “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, vol. 50. No. 1, 1982, pp. 987–1007; A. Bera and M. Higgins, “ARCH Models: Properties, Estimation and Testing,” Journal of Economic Surveys, vol. 7, 1993, pp. 305–366. Follow up with soft-notes and updates from CrunchEconometrix: Playlists: https://www.youtube.com/c/CrunchEconometrix/Playlist Website: http://cruncheconometrix.com.ng Blog: https://cruncheconometrix.blogspot.com.ng/ Facebook: https://www.facebook.com/CrunchEconometrix YouTube Custom URL: https://www.youtube.com/c/CrunchEconometrix Twitter: https://www.twitter.com/c/crunchmetrix Reddit: https://www.reddit.com/user/crunchmetrix
Views: 1777 CrunchEconometrix
Financial Forecasting using Tensorflow.js (LIVE)
 
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Can we use convolutional neural networks for time series analysis? It seems like a strange use case of convolutional networks, since they are generally used for image related tasks. But in recent months, more and more papers have started using convolutional networks for sequence classification. And since stock prices are a sequence, we can use them to make predictions. In this video, i'll use the popular tensorflow.js library to test out a prediction model for Apple stock. I'll also talk about how recurrent networks work as background. This is my first proper live stream in a year. Get hype! Code for this video: https://github.com/llSourcell/Financial_Forecasting_with_TensorflowJS Please Subscribe! And like. And comment. That's what keeps me going. Want more education? Connect with me here: Twitter: https://twitter.com/sirajraval Facebook: https://www.facebook.com/sirajology instagram: https://www.instagram.com/sirajraval This video is apart of my Machine Learning Journey course: https://github.com/llSourcell/Machine_Learning_Journey More learning resources: https://www.youtube.com/watch?v=V8DYi2G7nzg https://www.analyticsvidhya.com/blog/2016/02/time-series-forecasting-codes-python/ https://medium.com/mlreview/a-simple-deep-learning-model-for-stock-price-prediction-using-tensorflow-30505541d877 https://medium.com/@TalPerry/deep-learning-the-stock-market-df853d139e02 https://www.youtube.com/watch?v=JuLCL3wCEAk Join us in the Wizards Slack channel: http://wizards.herokuapp.com/ Sign up for the next course at The School of AI: https://www.theschool.ai And please support me on Patreon: https://www.patreon.com/user?u=3191693 Signup for my newsletter for exciting updates in the field of AI: https://goo.gl/FZzJ5w Hit the Join button above to sign up to become a member of my channel for access to exclusive content!
Views: 42385 Siraj Raval
NEW FOREX FORECAST MODEL : REPORT USD/CAD
 
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NEW STATISTICAL MODEL TO PREDICT TRENDS INSIDE OF FOREX MARKET; CASE USD CAD 2014 - 2015
Views: 23 fer alv
Exchange rates risk - ACCA Financial Management (FM)
 
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Exchange rates risk - ACCA Financial Management (FM) *** Complete list of free ACCA FM lectures is available on OpenTuition.com https://opentuition.com/acca/fm/ *** Free lectures for the ACCA Financial Management (FM) Exam To benefit from this lecture, visit opentuition.com/acca to download the notes used in the lecture and access ALL free resources: ACCA lectures, tests and Ask the ACCA Tutor Forums Please go to opentuition to post questions to ACCA Tutor, we do not provide support on youtube.
Views: 2435 OpenTuition
ARIMA and R: Stock Price Forecasting
 
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This tutorial illustrates how to use an ARIMA model to forecast the future values of a stock price. Find more data science and machine learning content at: http://www.michael-grogan.com/
Views: 26824 Michael Grogan