Jump Processes in Exchange Rates Modeling

This text presents a study of various models based on jump processes in the context of foreign exchange (FX) rates modeling. Quality of FX rate log-returns fit is assessed for models such as Merton and Kou jump-diffusions, normal inverse Gaussian, variance gamma, and Meixner. The study is illustrated by simulation results that are provided for each of the models considered. Jump models are contrasted to the well-known (continuous) Brownian motion model.

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Year of publication:	2013-09-24
Authors:	Bunčák, Tomáš
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	jump processes \| foreign exchange \| log-returns fit \| stochastic modeling

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C52 - Model Evaluation and Testing ; F31 - Foreign Exchange ; G15 - International Financial Markets ; G17 - Financial Forecasting
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011258961