International reserve management : a drift-switching reflected jump-diffusion model
Ning Cai, Xuewei Yang
| Year of publication: |
2018
|
|---|---|
| Authors: | Cai, Ning ; Yang, Xuewei |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 28.2018, 1, p. 409-446
|
| Subject: | international reserves, shocks | leptokurtic feature | management strategy | limited capability of raising reserves | drift switching | reflected jump diffusion | Währungsreserven | Foreign exchange reserves | Theorie | Theory | Schock | Shock | Schwellenländer | Emerging economies | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12134 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011969150