Add to ORKGThis text presents a study of various models based on jump processes in the context of foreign exchange (FX) rates modeling. Quality of FX rate log-returns fit is assessed for models such as Merton and Kou jump-diffusions, normal inverse Gaussian, variance gamma, and Meixner. The study is illustrated by simulation results that are provided for each of the models considered. Jump models are contrasted to the well-known (continuous) Brownian motion model
We propose a general continuous time bivariate jump-diffusion representation for the exchange rates ...
Jump-diffusion processes have been widely used to model financial time series to reflect discontinui...
This paper discusses construction of evolution models for financial time series evolving within a gi...
This text presents a study of various models based on jump processes in the context of foreign exch...
We investigate the consistency under inversion of jump diffusion processes in the foreign exchange m...
Jump-diffusion processes have been widely used to model financial time se-ries to reflect discontinu...
In this study, a multi-country nonlinear model with jump diffusion process is constructed to simulta...
The main objective of this thesis has been to develop an analysis of the dynamics of exchange rates ...
This paper investigates asymmetric effects of monetary policy over the business cycle. A two-state M...
This paper analyzes the nature and pricing implications of jumps in foreign exchange rate processes....
AbstractWe present five alternative approaches to modelling assets using jump-diffusion processes. T...
AbstractWe investigate which type of diffusion equation is most appropriate to describe the time evo...
This paper investigates the short-time exchange rate predictability in a developed and in an emergin...
In this thesis we consider the relationship between jump-diffusion processes and ARCH models with ju...
This paper introduces and studies the econometric properties of a general new class of models, which...
We propose a general continuous time bivariate jump-diffusion representation for the exchange rates ...
Jump-diffusion processes have been widely used to model financial time series to reflect discontinui...
This paper discusses construction of evolution models for financial time series evolving within a gi...
This text presents a study of various models based on jump processes in the context of foreign exch...
We investigate the consistency under inversion of jump diffusion processes in the foreign exchange m...
Jump-diffusion processes have been widely used to model financial time se-ries to reflect discontinu...
In this study, a multi-country nonlinear model with jump diffusion process is constructed to simulta...
The main objective of this thesis has been to develop an analysis of the dynamics of exchange rates ...
This paper investigates asymmetric effects of monetary policy over the business cycle. A two-state M...
This paper analyzes the nature and pricing implications of jumps in foreign exchange rate processes....
AbstractWe present five alternative approaches to modelling assets using jump-diffusion processes. T...
AbstractWe investigate which type of diffusion equation is most appropriate to describe the time evo...
This paper investigates the short-time exchange rate predictability in a developed and in an emergin...
In this thesis we consider the relationship between jump-diffusion processes and ARCH models with ju...
This paper introduces and studies the econometric properties of a general new class of models, which...
We propose a general continuous time bivariate jump-diffusion representation for the exchange rates ...
Jump-diffusion processes have been widely used to model financial time series to reflect discontinui...
This paper discusses construction of evolution models for financial time series evolving within a gi...