Maximum Likelihood Estimation of Continuous-time Diffusion Models for Exchange Rates
Five diffusion models are estimated using three different foreign exchange rates to find an appropriate model for each. Daily spot exchange rates expressed as the prices of 1 euro, 1 British pound and 100 Japanese yen in US dollars, respectively denoted by USD/EUR, USD/GBP, and USD/100JPY, are used....
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Korea Institute for International Economic Policy
2020-03-01
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| Series: | East Asian Economic Review |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.11644/KIEP.EAER.2020.24.1.372 |