Construction of models for bounded price processes: the case of the HKD exchange rate
This paper discusses construction of evolution models for financial time series evolving within a given interval. We calibrated a model for the case of the USD/HKD exchange rate after the separation of strong and weak side convertibility undertakings, in which the rate is confined to a specified cor...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
World Scientific Publishing Co.
2015
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/36716 |