Mean Reversion in G-10 Nominal Exchange Rates
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 41 (2006)
Issue (Month): 03 (September)
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- Chiu, Mei Choi & Wong, Hoi Ying, 2013. "Optimal investment for an insurer with cointegrated assets: CRRA utility," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 52-64.
- Chiu, Mei Choi & Wong, Hoi Ying, 2011. "Mean-variance portfolio selection of cointegrated assets," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1369-1385, August.
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