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...

In investigations on the behaviour of robust estimators, typically their consistency and their asymptotic normality are studied as a necessity. Their rates of convergence, however, are often given less weight. We show here that the rate of convergence of a multivariate robust estimator to its...

For a time-continuous discrete-state Markov process as model for rating transitions, we study the time-stationarity by means of a likelihood ratio test. For multiple Markov process data from a multiplicative intensity model, maximum likelihood parameter estimates can be represented as martingale...