scientific article; zbMATH DE number 1327258

MaRDI QIDQ4259408zbMATH OpenFDO

Authors Giuseppe Cavaliere

Publication date 9 April 2001

zbMATH Keywords

exchange ratereflected Brownian motiontarget zone

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to economics (62P20)

Recommendations

• On the mean-reverting properties of target zone exchange rates: A cautionary note
• A time series model for an exchange rate in a target zone with applications
• Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism
• Estimating Expected Exchange Rates Under Target Zone Regimes
• Can one hear the shape of a target zone?

Cited in

(3)

• A method of detecting whether a central bank engages in the black market for foreign exchange: Evidence from Iran
• Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism
• Off-the-record target zones: theory with an application to Hong Kong’s currency board

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4259408)