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Target zone modelling and estimation for European Monetary System exchange rates

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  • Ball, Clifford A.
  • Roma, Antonio
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    File URL: http://www.sciencedirect.com/science/article/B6VFG-45JK707-F/2/1f5777d9b582846a45ba9dc8ed4986c7
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 1 (1994)
    Issue (Month): 3-4 (July)
    Pages: 385-420

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    Handle: RePEc:eee:empfin:v:1:y:1994:i:3-4:p:385-420

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    Web page: http://www.elsevier.com/locate/jempfin

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    Cited by:
    1. Hans Genberg & Cho-hoi Hui, 2009. "The Credibility of the Link from the Perspective of Modern Financial Theory," Working Papers 0902, Hong Kong Monetary Authority.
    2. 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.
    3. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    4. C. H. Hui & C. F. Lo & V. Yeung & L. Fung, 2008. "Valuing foreign currency options with a mean-reverting process: a study of Hong Kong dollar," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 118-134.
    5. Thierry Roncalli & Jean-Sébastien Pentecôte, 1996. "Retour à la moyenne dans les cours du change du mécanisme de change européen : 1987-1995," Économie et Prévision, Programme National Persée, vol. 123(2), pages 189-205.
    6. Bekaert, Geert & Gray, Stephen F., 1998. "Target zones and exchange rates:: An empirical investigation," Journal of International Economics, Elsevier, vol. 45(1), pages 1-35, June.
    7. Cho-Hoi Hui & Chi-Fai Lo, 2008. "A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach," Working Papers 0809, Hong Kong Monetary Authority.
    8. Hui, C.H. & Lo, C.F., 2009. "A note on estimating realignment probabilities - A first-passage-time approach," Journal of International Money and Finance, Elsevier, vol. 28(5), pages 804-812, September.
    9. Clifford Ball & Antonio Roma, 1998. "Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(1), pages 1-15.

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