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Which Continuous-Time Model is Most Appropriate for Exchange Rates? · Study

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ArticleWhich Continuous-Time Model is Most Appropriate for Exchange Rates?

Deniz Erdemlioglu2013

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Articlegreen2013

Which Continuous-Time Model is Most Appropriate for Exchange Rates?

Deniz Erdemlioglu · Sébastien Laurent · Christopher J. Neely

21 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1976Option pricing when underlying stock returns are discontinuous 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2003Financial Modelling with Jump Processes 1900Théorie de la spéculation 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1999Option valuation using the fast Fourier transform 2004Power and Bipower Variation with Stochastic Volatility and Jumps 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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Year2013

Typearticle

Published2013-01-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2015.09.014

openalex_workW3124753597

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