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Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach
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Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach (1989)Exchange Rate Dynamics Under Stochastic R…Brownian Motion and Stochastic Flow Systems. 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References

  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence981 cited
  • 1977The Exchange Rate, The Balance Of Payments and Monetary and Fiscal Policy Under A Regime of Controlled Floating480 cited
  • 1983Exchange-Rate Dynamics304 cited

Cited by

  • 2021Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system205 cited
  • 1999Optimal Central Bank Intervention in the Foreign Exchange Market167 cited
  • 2017Commodity Trade and the Carry Trade: A Tale of Two Countries154 cited
  • 1991A simplified treatment of the theory of optimal regulation of Brownian motion147 cited
  • 2010Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock130 cited
  • 1993Non-linearities in foreign exchange markets: a different perspective123 cited
  • 1993Price Barriers in the Dow Jones Industrial Average117 cited
  • 1992The foreign exchange risk premium in a target zone with devaluation risk112 cited
  • 1990The Term Structure of Interest Rate Differentials in a Target Zone: Theory and Swedish Data107 cited
  • 1998Optimal stochastic intervention control with application to the exchange rate105 cited

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  • 1991The term structure of interest rate differentials in a target zone99 cited
  • 1989Target Zones and Interest Rate Variability97 cited
  • 1991Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models82 cited
  • 2012Commodity Trade and the Carry Trade: A Tale of Two Countries82 cited
  • 1991Some linear and nonlinear thoughts on exchange rates79 cited
  • 2008International financial integration through the law of one price: The role of liquidity and capital controls72 cited