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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

Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation

Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric reviews 30 (2011) 3, pp. 303-336

Persistent link: https://www.econbiz.de/10008990434

The extended switching regression model : allowing for multiple latent state variables

Preminger, Arie; Ben-Zion, Uri; Wettstein, David - In: Journal of forecasting 26 (2007) 7, pp. 457-473

Persistent link: https://www.econbiz.de/10003593886

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W.; Santa-Clara, Pedro - 2001

Persistent link: https://www.econbiz.de/10001606888

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W.; Santa-Clara, Pedro - In: Journal of financial economics 63 (2002) 2, pp. 161-210

Persistent link: https://www.econbiz.de/10001636757

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002011289

Alternative maximum likelihood estimation of structural vector autoregressive models partially identified with short-run restrictions

Jang, Kyungho - In: Journal of money, credit and banking : JMCB 45 (2013) 2/3, pp. 465-476

Persistent link: https://www.econbiz.de/10009759303

Extreme co-movements and dependencies in volatility of exchange rate among US dollar and emerging currencies : a GAS-GARCH-student-t model

Sy, Aida; Derbali, Abdelkader; Ayeche, Manel Ben - In: African journal of accounting, auditing and finance : AJAAF 4 (2015) 3, pp. 246-272

Persistent link: https://www.econbiz.de/10011513939

Trading-hour and nontrading-hour volatility in crude oil and US dollar markets and its implications for portfolio optimization

Lai, Yu-Sheng - In: Journal of commodity markets : JCM 38 (2025), pp. 1-17

Persistent link: https://www.econbiz.de/10015426558

The Undisclosed Renminbi Basket : Are the Markets Telling Us Something About Where the Renminbi-US Dollar Exchange Rate is Going?

Funke, Michael - 2013

On 21 July 2005 China adopted an undisclosed basket exchange rate regime. We formally assess and envisage the gradual evolution of the renminbi over time. We utilize nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/U.S. dollar (RMB/USD)...

Persistent link: https://www.econbiz.de/10012753619