A Jump-diffusion Model for Exchange Rates in a Target Zone
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Bibliographic InfoArticle provided by Netherlands Society for Statistics and Operations Research in its journal Statistica Neerlandica.
Volume (Year): 55 (2001)
Issue (Month): 3 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0039-0402
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- Bessec, Marie, 2003.
"Mean-reversion vs. adjustment to PPP: the two regimes of exchange rate dynamics under the EMS, 1979–1998,"
Economics Papers from University Paris Dauphine
123456789/12206, Paris Dauphine University.
- Bessec, Marie, 2003. "Mean-reversion vs. adjustment to PPP: the two regimes of exchange rate dynamics under the EMS, 1979-1998," Economic Modelling, Elsevier, vol. 20(1), pages 141-164, January.
- Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Society for Computational Economics, vol. 26(1), pages 19-49, August.
- Mancini, Cecilia, 2008. "Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process," Statistics & Probability Letters, Elsevier, vol. 78(7), pages 869-879, May.
- C. F. Lo & C. H. Hui & S. W. Chu & T. Fong, 2012. "A Quasi-Bounded Target Zone Model - Theory and Application to Hong Kong Dollar," Working Papers 282012, Hong Kong Institute for Monetary Research.
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