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Maximum likelihood estimation of continuous-time diffusion models for exchange rates
Choi, Seungmoon; Lee, Jaebum - In: East Asian economic review 24 (2020) 1, pp. 61-87
Persistent link: https://www.econbiz.de/10012225756
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Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14
in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models …
Persistent link: https://www.econbiz.de/10011443686
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A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke; Watanabe, Toshiaki - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
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Testing the random walk hypothesis of daily weekly yen-dollar exchange rates in S. Taylor's model
Kariya, Takeaki; Matsue, Yumiko - 1989
Persistent link: https://www.econbiz.de/10000873193
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Forecast selection by conditional predictive ability tests : an application to the yen/dollar exchange rate
Kawakami, Kei (contributor) - 2008
Persistent link: https://www.econbiz.de/10003639008
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Monetary and asset market models for sterling exchange rates : a cointegration approach
Sarantis, Nicholas - In: Journal of economic integration 10 (1995) 3, pp. 335-371
Persistent link: https://www.econbiz.de/10001191403
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Tests of real interest parity in international currency markets
Parikh, Ashok K. - In: Journal of economics 59 (1994) 2, pp. 167-191
Persistent link: https://www.econbiz.de/10001162184
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Estimating unknown join points : determination of the Yen-Dollar exchange rate
Tsurumi, Hiroki - In: Financial engineering and the Japanese markets 1 (1994) 1, pp. 55-66
Persistent link: https://www.econbiz.de/10001187922
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Malliavin calculus for the estimation of the U.S. dollar/euro exchange rate when the volatility is stochastic
Abutaleb, Ahmed; Papaioannou, Michael G. - In: Global information technology and competitive financial …, (pp. 71-101). 2006
Persistent link: https://www.econbiz.de/10003380428
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001