𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Modeling currency exchange rate time series

✍ Scribed by Promod K. Chandhok; W.Robert Terry


Publisher
Elsevier Science
Year
1986
Tongue
English
Weight
244 KB
Volume
11
Category
Article
ISSN
0360-8352

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Exchange rates and interest rates: can t
✍ Ahmet Can Inci; Biao Lu πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 353 KB

We construct an international term structure model that has excellent empirical performance in tracking movements of exchange rates and currency returns. The forward premium puzzle is accounted for, yet the model does not have the undesirable properties found in Backus et al. (J. Finance 56 (2001) 2

Daily exchange rate behaviour and hedgin
✍ Charles S. Bos; Ronald J. Mahieu; Herman K. Van Dijk πŸ“‚ Article πŸ“… 2000 πŸ› John Wiley and Sons 🌐 English βš– 323 KB

## Abstract We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The effects of several model char