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

Autor:	Dongxing Li, Lijun Bo, Guijun Ren, Xuewei Yang, Yongjin Wang
Rok vydání:	2012
Předmět:	Exchange rate Computer science Maximum likelihood Monte Carlo method Process (computing) Econometrics European Monetary System Ornstein–Uhlenbeck process
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.2107686
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::a4d72cfd6cdc45e0b3fa93d71cca5647 https://doi.org/10.2139/ssrn.2107686 Zobrazit plný text záznamu