GOUTTE, Stéphane; Zou, Benteng - Centre de Recherche en Économie Appliquée (CREA), … - 2011
Under Hamilton (1989)’s type Markov regime switching framework, modified Cox-Ingersoll-Ross model is employed to study foreign exchange rate, where all parameters value depend on the value of a continuous time Markov chain. Basing on real data of some foreign exchange rates, the...