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Diffusion Models For Exchange Rates In A Target Zone

Citations

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Cited by:

  1. Hui, Cho-Hoi & Lo, Chi-Fai & Fong, Tom Pak-Wing, 2016. "Swiss franc's one-sided target zone during 2011–2015," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 54-67.
  2. Feng, Liming & Jiang, Pingping & Wang, Yongjin, 2020. "Constant elasticity of variance models with target zones," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  3. Taiga Saito, 2016. "Pricing Foreign Exchange Options Under Intervention by Absorption Modeling," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(1), pages 85-106, March.
  4. Peter P. Carr & Zura Kakushadze, 2017. "FX options in target zones," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.
  5. Almut Veraart & Luitgard Veraart, 2012. "Stochastic volatility and stochastic leverage," Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
  6. Mordecai Avriel & Jens Hilscher & Alon Raviv, 2013. "Inflation Derivatives Under Inflation Target Regimes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(10), pages 911-938, October.
  7. Damir Filipovi'c & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Papers 1711.08043, arXiv.org, revised Jul 2019.
  8. Yu-Fu Chen & Michael Funke & Nicole Glanemann, 2014. "The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate," Open Economies Review, Springer, vol. 25(2), pages 311-336, April.
  9. Nina Munkholt Jakobsen & Michael Sørensen, 2015. "Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval," CREATES Research Papers 2015-33, Department of Economics and Business Economics, Aarhus University.
  10. Clio Ciaschini & Kateryna Tkach & Francesca Mariani & Maria Cristina Recchioni, 2019. "Speculative bubbles in agricultural commodity prices: detection and forecasting via market indicators," RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies, SIEDS Societa' Italiana di Economia Demografia e Statistica, vol. 73(2), pages 63-73, April-Jun.
  11. Park, Ki Young & Kim, Soohyon, 2019. "Detecting currency manipulation: An application of a state-space model with Markov switching," Japan and the World Economy, Elsevier, vol. 49(C), pages 50-60.
  12. Larsson, Martin & Pulido, Sergio, 2017. "Polynomial diffusions on compact quadric sets," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 901-926.
  13. Ferrari, Giorgio, 2018. "On a Class of Singular Stochastic Control Problems for Reflected Diffusions," Center for Mathematical Economics Working Papers 592, Center for Mathematical Economics, Bielefeld University.
  14. Hui, Cho-Hoi & Lo, Chi-Fai & Liu, Chi-Hei, 2022. "Exchange rate dynamics with crash risk and interventions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 18-37.
  15. Zhenxi Chen & Thomas Lux, 2018. "Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach," Computational Economics, Springer;Society for Computational Economics, vol. 52(3), pages 711-744, October.
  16. Lo, C.F. & Hui, C.H. & Fong, T. & Chu, S.W., 2015. "A quasi-bounded target zone model — Theory and application to Hong Kong dollar," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 1-17.
  17. Nicolas Bouleau & Christophe Chorro, 2017. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01138383, HAL.
  18. Filipović, Damir & Larsson, Martin & Pulido, Sergio, 2020. "Markov cubature rules for polynomial processes," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1947-1971.
  19. 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.
  20. Damir Filipović & Martin Larsson, 2016. "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, vol. 20(4), pages 931-972, October.
  21. Damir Filipovi'c & Martin Larsson & Sergio Pulido, 2017. "Markov cubature rules for polynomial processes," Papers 1707.06849, arXiv.org, revised Jun 2019.
  22. Nicolas Bouleau & Christophe Chorro, 2015. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Documents de travail du Centre d'Economie de la Sorbonne 15024r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2015.
  23. Michael Sørensen, 2008. "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers 2008-18, Department of Economics and Business Economics, Aarhus University.
  24. Ghonghadze, Jaba & Lux, Thomas, 2016. "Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 1-19.
  25. Julie Lyng Forman & Michael Sørensen, 2008. "The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 438-465, September.
  26. Hui, Cho-Hoi & Lo, Chi-Fai & Chau, Po-Hon & Wong, Andrew, 2020. "Does Bitcoin behave as a currency?: A standard monetary model approach," International Review of Financial Analysis, Elsevier, vol. 70(C).
  27. C. H. Hui & C. F. Lo & T. Fong, 2015. "A Quasi-Bounded Model for Swiss Franc's One-Sided Target Zone During 2011-2015," Working Papers 152015, Hong Kong Institute for Monetary Research.
  28. Cho-Hoi Hui & Chi-Fai Lo & Po-Hon Chau, 2017. "Can Exchange Rate Dynamics in Krugman¡¯s Target-zone Model be Directly Tested?Abstract: Despite Krugman's (1991) model being a benchmark for modelling target zones, empirical support has been sparse d," Working Papers 032017, Hong Kong Institute for Monetary Research.
  29. Tim Leung & Xin Li, 2015. "Optimal Mean Reversion Trading With Transaction Costs And Stop-Loss Exit," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.
  30. Liao Wang & David D. Yao, 2021. "Risk Hedging for Production Planning," Production and Operations Management, Production and Operations Management Society, vol. 30(6), pages 1825-1837, June.
  31. Thomas Krabichler & Josef Teichmann, 2020. "The Jarrow & Turnbull setting revisited," Papers 2004.12392, arXiv.org.
  32. Nicolas Bouleau & Christophe Chorro, 2015. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Post-Print halshs-01162452, HAL.
  33. Christian Gouriéroux & Eric Renault & Pascale Valery, 2007. "Diffusion Processes with Polynomial Eigenfunctions," Annals of Economics and Statistics, GENES, issue 85, pages 115-130.
  34. Cho-Hoi Hui & Chi-Fai Lo & Chi-Hei Liu, 2023. "Equity Price Dynamics under Shocks: In Distress or Short Squeeze," Risks, MDPI, vol. 12(1), pages 1-19, December.
  35. Choi, Michael C.H. & Li, Evelyn, 2019. "A Hoeffding’s inequality for uniformly ergodic diffusion process," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 23-28.
  36. Giorgio Ferrari & Tiziano Vargiolu, 2020. "On the singular control of exchange rates," Annals of Operations Research, Springer, vol. 292(2), pages 795-832, September.
  37. Vadim Linetsky, 2004. "The Spectral Decomposition Of The Option Value," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(03), pages 337-384.
  38. Weiwei Guo & Lingfei Li, 2019. "Parametric inference for discretely observed subordinate diffusions," Statistical Inference for Stochastic Processes, Springer, vol. 22(1), pages 77-110, April.
  39. Andreas Neuenkirch & Lukasz Szpruch, 2012. "First order strong approximations of scalar SDEs with values in a domain," Papers 1209.0390, arXiv.org.
  40. Bouleau, Nicolas & Chorro, Christophe, 2017. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright–Fisher diffusion process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 379-395.
  41. Nicolas Bouleau & Christophe Chorro, 2017. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Post-Print hal-01138383, HAL.
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