Similar Search Results

The Empirical Performance of Option Based Densities of Foreign Exchange

Keller, Joachim G.; Craig, Ben R. - 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/10010295724

Zur Qualität professioneller Wechselkursprognosen

Schmidt, Robert - 2003

Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...

Persistent link: https://www.econbiz.de/10010305747

The Euro/Dollar exchange rate : chaotic or non-chaotic?

Federici, Daniela; Gandolfo, Giancarlo - 2011

The aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents' beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity that gives rise to a jerk differential...

Persistent link: https://www.econbiz.de/10009011774

Endogenous growth in an open economy and the real exchange rate

Federici, Daniela; Gandolfo, Giancarlo - 2001

This paper is a step in the direction of a larger research project aimed at determining the long run equilibrium value of the euro/dollar real exchange rate. Given this value, one could then give a precise meaning to the notion of undervaluation or overvaluation of the euro, and calculate its...

Persistent link: https://www.econbiz.de/10011399353

Central Bank Interventions and Implied Exchange Rate Correlations

Nikkinen, Jussi - 2011

This paper examines the effects of the foreign exchange market interventions by the Bank of Japan on the ex ante correlations between the JPY/USD, EUR/USD, and GBP/USD exchange rates. The correlation estimates used in the analysis are derived from the market prices of OTC currency options. The...

Persistent link: https://www.econbiz.de/10013131457

Understanding the Behavioral Equilibrium Exchange Rate Model Via its Application to the Valuation of Chinese Renminbi

Zhang, Zhibai - 2012

In this paper, the behavioral equilibrium exchange rate (BEER) model used in a time-series setting is investigated, via its application to the valuation of Chinese renminbi. A classical definition with its generalization is given. The different misalignment results derived from the BEER models...

Persistent link: https://www.econbiz.de/10013102922

A New Approach to the Estimation of Equilibrium Exchange Rates Among East-Asian Economies

Martinez Oliva, Juan Carlos - 2015

alternative assumptions on bilateral price elasticities. While the methodology can further benefit from empirical estimation of …

Persistent link: https://www.econbiz.de/10013017607

Central Bank Intervention and Exchange Rate Expectations : Evidence from the Daily Dm/Us-Dollar Exchange Rate

Reitz, Stefan - 2016

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...

Persistent link: https://www.econbiz.de/10012991271

Estimating exchange rate dynamics with diffusion processes : an application to Greek EMU data

Trede, Mark; Wilfling, Bernd - 2004

-entrance in January 2001 this paper develops a rigorous estimation procedure. The estimates provide statistical evidence of … increased central bank intervention activities in the run-up to the Greek EMU entrance. Thus the modelling and estimation … processes ; estimation ; exchange rates ; EMU ; central bank interventions …

Persistent link: https://www.econbiz.de/10009349862

Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model

Mignot, Sarah; Westerhoff, Frank H. - 2023

We propose a simple agent-based version of Paul de Grauwe's chaotic exchange rate model. In particular, we assume that each speculator follows his own technical and fundamental trading rule. Moreover, a speculator's choice between these two trading philosophies depends on his individual...

Persistent link: https://www.econbiz.de/10014384489