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DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
6 references·16 citing·46 second hop
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this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1991Target Zones and Exchange Rate Dynamics1,089 cited
  • 1999Estimating Equations Based on Eigenfunctions for a Discretely Observed Diffusion Process187 cited
  • 2005Diffusion-type models with given marginal distribution and autocorrelation function129 cited
  • 2000Prediction‐based estimating functions121 cited

Cited by

  • 2015OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT113 cited
  • 2006Esscher transforms and the minimal entropy martingale measure for exponential Lévy models104 cited
  • 2010Estimating Functions for Discretely Sampled Diffusion-Type Models99 cited
  • 2016Polynomial diffusions and applications in finance91 cited
  • 2008The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets85 cited
  • 2006Ruin probabilities and aggregrate claims distributions for shot noise Cox processes76 cited
  • 2005Multivariate Jacobi process with application to smooth transitions73 cited
  • 2007Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation

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52 cited
  • 2012Estimating functions for diffusion-type processes50 cited
  • 2016Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility41 cited
  • 2004Short sales, price pressure, and the stock price response to convertible bond calls41 cited
  • 2009Stochastic Volatility and Stochastic Leverage38 cited
  • 2004The Information Content of Earnings Announcements in Denmark37 cited
  • 2004The Differences between Stock Splits and Stock Dividends - Evidence from Denmark34 cited
  • 2020Polynomial Jump-Diffusion Models32 cited
  • 2006The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application31 cited