Xuewei Yang, Guijun Ren, Yongjin Wang, Lijun Bo, Dongxing Li
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引用次数: 5
Abstract
In this paper, we model the exchange rate in a target zone by a so-called reflected Ornstein-Uhlenbeck process. A simulation-based maximum likelihood estimation strategy of the parameters involved in the model is proposed and studied. The model fits data on exchange rates in the European Monetary System well.
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