Construction of models for bounded price processes: the case of the HKD exchange rate

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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...

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Bibliographic Details
Main Authors:	Yee, H.B., Dokuchaev, Nikolai
Format:	Journal Article
Published:	World Scientific Publishing Co. 2015
Subjects:	bounded financial time series currency corridor 2D Markov model
Online Access:	http://hdl.handle.net/20.500.11937/36716

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