Estimating Expected Exchange Rates Under Target Zone Regimes

DOI10.1142/S0219024998000047zbMath0908.90062MaRDI QIDQ4216099

Zhaohui Chen, Alberto Giovannini

Publication date: 22 November 1998

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

econometric procedureexpected exchange ratelinear projection methodology

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Two-step two-stage least squares estimation in models with rational expectations
• Target zones and the distribution of exchange rates. An estimation method
• Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION