Similar Search Results - EconBiz

Diffusion models for exchange rates in a target zone

Stegenborg Larsen, Kristian (contributor); … - 2003 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001767507

The incremental volatility information in one million foreign exchange quotations

Taylor, Stephen - In: Journal of empirical finance 4 (1997) 4, pp. 317-340

Persistent link: https://www.econbiz.de/10001236462

GARCH models as diffusion approximation : a simulation approach for currency hedging using options

Castellano, Rosella - In: New operational approaches for financial modelling, (pp. 297-310). 1997

Persistent link: https://www.econbiz.de/10001299211

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10001656178

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10011431367

Spanning rates as factors in derivative term struture models : theory, empirical analysis and implementation

Haab, Stefan - 2000

Persistent link: https://www.econbiz.de/10001462593

Forward exchange rates and risk premiums in artificial economies

Macklem, R. Tiff - In: Journal of international money and finance 10 (1991) 3, pp. 365-391

Persistent link: https://www.econbiz.de/10001110870

Estimating the risk premium in a multi-sector stochastic endogenous growth model

Jakobsen, Jan Bo; Podivinsky, Jan M. - 1993

Persistent link: https://www.econbiz.de/10000894314

Recent estimates of time-variation in the conditional variance and in the exchange risk premium

Frankel, Jeffrey A. - 1987

Persistent link: https://www.econbiz.de/10000730437

Specification analysis of affine term structure models

Dai, Qiang; Singleton, Kenneth J. - 1997

Persistent link: https://www.econbiz.de/10000637523

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