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A wavelet-based approach for modelling exchange rates

โœ Scribed by Boubaker Heni; Boutahar Mohamed

Publisher
Springer
Year
2010
Tongue
English
Weight
763 KB
Volume
20
Category
Article
ISSN
1613-981X

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This paper focuses on the cross-dynamics of exchange rate expectations over different time-scales. We use overthe-counter currency options on the euro, Japanese yen, and British pound vis-a`-vis the U.S. dollar to extract expected probability density functions of future exchange rates, and apply rec