Regime switching in foreign exchange rates: Evidence from currency option prices (Q1969822)
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scientific article; zbMATH DE number 1417432
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Regime switching in foreign exchange rates: Evidence from currency option prices |
scientific article; zbMATH DE number 1417432 |
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Regime switching in foreign exchange rates: Evidence from currency option prices (English)
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22 June 2000
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option valuation
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currency options
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time series
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GARCH models
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parameter estimation
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Markov models
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regime-switching
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