Modeling the Exchange Rates in a Target Zone by Reflected Ornstein-Uhlenbeck Process

In this paper, we model the exchange rate in a target zone by a so-called reflected Ornstein-Uhlenbeck process. A simulation-based maximum likelihood estimation strategy of the parameters involved in the model is proposed and studied. The model fits data on exchange rates in the European Monetary System well

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Year of publication:	2016
Authors:	Yang, Xuewei
Other Persons:	Ren, Guijun (contributor) ; Wang, Yongjin (contributor) ; Bo, Lijun (contributor) ; Li, Dongxing (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Wechselkurspolitik \| Exchange rate policy \| Zielzone \| Target zone \| Wechselkurs \| Exchange rate \| Monetäre Wechselkurstheorie \| Monetary approach to exchange rates

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Extent:	1 Online-Ressource (21 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1, 2016 erstellt
Other identifiers:	10.2139/ssrn.2107686 [DOI]
Classification:	C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; F31 - Foreign Exchange
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013008046