用反射Ornstein-Uhlenbeck过程对目标区域的汇率进行建模

POL: International Monetary Policy & Exchange Rates (Topic) Pub Date : 2016-09-01 DOI:10.2139/ssrn.2107686

Xuewei Yang, Guijun Ren, Yongjin Wang, Lijun Bo, Dongxing Li

{"title":"用反射Ornstein-Uhlenbeck过程对目标区域的汇率进行建模","authors":"Xuewei Yang, Guijun Ren, Yongjin Wang, Lijun Bo, Dongxing Li","doi":"10.2139/ssrn.2107686","DOIUrl":null,"url":null,"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.","PeriodicalId":435383,"journal":{"name":"POL: International Monetary Policy & Exchange Rates (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2016-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"Modeling the Exchange Rates in a Target Zone by Reflected Ornstein-Uhlenbeck Process\",\"authors\":\"Xuewei Yang, Guijun Ren, Yongjin Wang, Lijun Bo, Dongxing Li\",\"doi\":\"10.2139/ssrn.2107686\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":435383,\"journal\":{\"name\":\"POL: International Monetary Policy & Exchange Rates (Topic)\",\"volume\":\"1 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"POL: International Monetary Policy & Exchange Rates (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2107686\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"POL: International Monetary Policy & Exchange Rates (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2107686","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 5

摘要

在本文中，我们通过所谓的反射Ornstein-Uhlenbeck过程来模拟目标区的汇率。提出并研究了一种基于仿真的模型参数最大似然估计策略。该模型与欧洲货币体系的汇率数据吻合得很好。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Modeling the Exchange Rates in a Target Zone by Reflected Ornstein-Uhlenbeck Process

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

POL: International Monetary Policy & Exchange Rates (Topic)

自引率

0.00%

发文量