MIXED DIFFUSION-JUMP PROCESS MODELING OF EXCHANGE-RATE MOVEMENTS

被引：74

作者：

AKGIRAY, V ^{[1
]}

BOOTH, GG ^{[1
]}

机构：

[1] LOUISIANA STATE UNIV,BATON ROUGE,LA 70803

来源：

关键词：

D O I：

10.2307/1935826

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：631 / 637

页数：7

共 29 条

[11]

EVANS GW, 1986, AM ECON REV, V76, P621

[12] FOREIGN-CURRENCY OPTION VALUES [J].

GARMAN, MB ;

KOHLHAGEN, SW .

[13]

GILBERT RA, 1985, FEDERAL RESERVE BANK, V67, P13

[14]

HANSEN LP, 1983, EXCHANGE RATES INT M

[15]

HOGG RV, 1970, INTRO MATH STATISTIC

[16]

Huizinga J., 1986, CARNEGIE-ROCHESTER C, V24, P231

[17] JUMP RISKS AND THE INTERTEMPORAL CAPITAL-ASSET PRICING MODEL [J].

JARROW, RA ;

ROSENFELD, ER .

[18]

JOHNSON KH, 1983, FEDERAL RESERVE B, V69, P745

[19]

Khoury S.J., 1987, RECENT DEV INT BANKI

[20] REGRESSION-TYPE ESTIMATION OF THE PARAMETERS OF STABLE LAWS [J].

KOUTROUVELIS, IA .