Mixed Diffusion-Jump Process Modeling of Exchange Rate Movements
证明混合扩散跳跃过程比稳定分布或正态混合模型更能描述英镑、法郎和马克兑美元汇率的变化，且参数值受美国货币政策影响。
This study demonstrates that the mixed diffusion-jump process is superior to the stable laws or a mixture of normals as a model of exchange rate changes for the British pound, French franc, and the We st German mark relative to the United States dollar. The parameter value s for the mixed diffusion-jump process are dependent on the monetary policy regime in force in the United States, with the estimates for the franc and mark being intertemporally similar but different from the pound. Copyright 1988 by MIT Press.