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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