Regime switching in foreign exchange rates: Evidence from currency option prices
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Publication:1969822
DOI10.1016/S0304-4076(99)00022-6zbMath0970.62072WikidataQ127015727 ScholiaQ127015727MaRDI QIDQ1969822
Robert E. Whaley, Nicolas P. B. Bollen, Stephen F. Gray
Publication date: 22 June 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
parameter estimationtime seriescurrency optionsMarkov modelsGARCH modelsregime-switchingoption valuation
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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