Modeling currency exchange rate time series
β 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.
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## 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