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Evaluating strategic directional probability predictions of exchange rates
Pollock, Andrew C.; MacAulay, Alex; Wilkie-Thomson, Mary E. - In: International journal of applied management science 2 (2010) 3, pp. 282-304
Persistent link: https://www.econbiz.de/10008646950
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Performance of alternative currency option pricing models : a study of the Japanese yen
Dupoyet, Brice Valery - 2003
Persistent link: https://www.econbiz.de/10003564768
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Conditional distributions in the Krugman target zone model and undeclared narrower bands
Veestraeten, Dirk - 2001
Persistent link: https://www.econbiz.de/10001553242
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The potential approach to the term structure of interest rates and foreign exchange rates
Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 7 (1997) 2, pp. 157-176
Persistent link: https://www.econbiz.de/10001220276
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An examination of skewness and elongation in exchange-rate-changes distributions using Tukey's g and h estimates : the case of Hongkong
Chou, Win-lin - In: Journal of Asian economics 4 (1993) 1, pp. 117-130
Persistent link: https://www.econbiz.de/10001150465
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Modeling the persistence of conditional volatility with GARCH-stable processes
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000984425
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Markov-Switching models for exchange-rate dynamics and the pricing of foreign-currency options
Kaehler, Jürgen - In: Econometric analysis of financial markets, (pp. 203-230). 1994
Persistent link: https://www.econbiz.de/10001284428
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The tail index of exchange rate returns
Koedijk, Kees - In: Journal of international economics 29 (1990) 1, pp. 93-108
Persistent link: https://www.econbiz.de/10001091436
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The VAR-VARCH model : a Bayesian approach
Polasek, Wolfgang; Kozumi, Hideo - 1995
Persistent link: https://www.econbiz.de/10000911268
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Australian Dollar Carry Trades : Time Varying Probabilities and Their Determinants
Kim, Suk-Joong - 2017
This paper investigates the nature and the determinants of the Australian Dollar (AUD) carry trades using a Markov regime shifting model over the period 2 Jan 1999 to 31 Dec 2012. We find that the AUD could have been used, except for a number of short periods notably surrounding the outbreak of...
Persistent link: https://www.econbiz.de/10012972709