Li, Xiao-Ping; Feng, Yun; Wu, Chong-Feng; Xu, Wei-Dong - In: Economic Modelling 30 (2013) C, pp. 863-874
In this paper, we propose a dynamic model of the term structure of forward exchange rates and discuss the effects of … jumps in interest rates on the term structure of forward exchange rates. First, we develop a dynamic three-factor model of … forward exchange rates in continuous time that incorporates central bank policy. We model the policy-related events …