Response of the term structure of forward exchange rate to jump in the interest rate
Xiao-Ping Li; Yun Feng; Chong-Feng Wu; Wei-Dong Xu
| Year of publication: |
2013
|
|---|---|
| Authors: | Li, Xiao-ping ; Feng, Yun ; Wu, Chong-feng ; Xu, Wei-dong |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 30.2013, p. 863-874
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| Subject: | Jumps in interest rates | Forward exchange rates | Kalman filter methodology | Markov Chain Monte Carlo (MCMC) algorithm | Volatility curve | Volatilität | Volatility | Währungsderivat | Currency derivative | Theorie | Theory | Markov-Kette | Markov chain | Zinsstruktur | Yield curve | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Zins | Interest rate | Zustandsraummodell | State space model | Wechselkurs | Exchange rate |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009708784