瑞士国家银行最低汇率政策期间的CHF/EUR汇率：一种潜在似然方法

The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach

Quantitative Finance · 2018
被引 23
ABS 3

中文导读

将汇率下限视为看跌期权，准确预测了瑞士法郎/欧元汇率在1.20下限取消后的走势。

Abstract

Our model treating the rate bound in terms of a put option accurately predicts the CHF/EUR exchange rate following the removal of the lower bound of 1.20

汇率经济学计量经济学货币经济学
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