The principal possibility of constructing factor model for the set of relative increments currency pairs quotes
On the basis of an estimate of the factor model of multivariate joint distribution of the relative increments of currency pairs quotes
The analytical expressions for the density distributions of the individual components of the factor model (relative increment of quotations of currency pairs) on the assumption that the generalized Laplace distribution factors are
On the basis of the factor model an estimate of the distribution law of the currency portfolio returns
GENERAL CONTACT DETAILS: Tomsk Polytechnic University
30, Lenin Avenue, Tomsk, 634050, Russia
UNIVERSITY OFFICE: Office 127, 30, Lenin Avenue, Tomsk, 634050, Russia
Telephone: +7(3822) 56-34-70, Fax: +7(3822) 56-38-65 E-mail: tpu@tpu.ru
