Estimating Exchange Rate Dynamics with Diffusion Processes : An Application to Greek EMU Data
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- Mark Trede & Bernd Wilfling, 2007. "Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data," Empirical Economics, Springer, vol. 33(1), pages 23-39, July.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Görgens, Maik & Thulin, Måns, 2014. "Bias-correction of the maximum likelihood estimator for the α-Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 78-86.
- repec:spr:compst:v:69:y:2009:i:3:p:509-551 is not listed on IDEAS
- Jeff Hamrick & Murad Taqqu, 2009. "Testing diffusion processes for non-stationarity," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 509-551, July.
- Zhao, Shoujiang & Zhou, Yanping, 2013. "Sharp large deviations for the log-likelihood ratio of an α-Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2750-2758.
More about this item
KeywordsDiffusion processes; estimation; exchange rates; EMU; central bank interventions;
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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