Stochastic modeling of currency exchange rates with novel validation techniques

DOI10.1016/j.physa.2019.04.098OpenAlexW2940886140WikidataQ127970605 ScholiaQ127970605MaRDI QIDQ2158962

Anna Michalak, Agnieszka Wyłomańska, Łukasz Bielak, Grzegorz Sikora, Paweł Miśta

Publication date: 26 July 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.04.098

zbMATH Keywords

estimationmodelingOrnstein-Uhlenbeck processvalidationCKLS model\(\mathcal{SGT}\) distribution

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (2)

Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process ⋮ The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• The Pricing of Options and Corporate Liabilities
• Geometric Brownian motion with tempered stable waiting times
• Recent results in the theory and applications of CARMA processes
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Stable continuous-time autoregressive process driven by stable subordinator
• Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
• Continuous time ARMA processes: discrete time representation and likelihood evaluation
• Generalized method of moments estimation for cointegrated vector autoregressive models
• Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
• Financial Data and the Skewed Generalized T Distribution
• Instrumental Variables Estimation With Flexible Distributions
• Robust estimation with flexible parametric distributions: estimation of utility stock betas
• Ornstein--Uhlenbeck Process with Non-Gaussian Structure
• An equilibrium characterization of the term structure
• Value‐at‐risk under market shifts through highly flexible models
• Estimation for Non-Negative Lévy-Driven CARMA Processes
• Lévy-driven CARMA processes
• On oracle property and asymptotic validity of Bayesian generalized method of moments

This page was built for publication: Stochastic modeling of currency exchange rates with novel validation techniques