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Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks

Chen, Yu; Cosimano, Thomas F.; Himonas, Alex A. - In: Annals of finance 4 (2008) 3, pp. 305-344

Persistent link: https://www.econbiz.de/10003714672

A multicommodity model of futures prices : using futures prices of one commodity to estimate the stochastic process of another

Cortazar, Gonzalo; Milla, Carlos; Severino, Felipe - In: The journal of futures markets 28 (2008) 6, pp. 537-560

Persistent link: https://www.econbiz.de/10003715005

A non-stationary integer-valued autoregressive model

Kim, Hee-Young; Park, Yousung - In: Statistical papers 49 (2008) 3, pp. 485-502

Persistent link: https://www.econbiz.de/10003715365

Economic integration and the foreign exchange

Weber, Enzo (contributor) - 2007

This paper demonstrates effects of economic convergence processes on the foreign exchange behaviour in a monetary modelling approach. Since the exchange rate represents the relative price of two currencies, commonness of stochastic trends between the fundamental determinants of supply and demand...