The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach
Research output: Contribution to journal › Journal article › Research › peer-review
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- ArticleRolfPoulsen
Accepted author manuscript, 364 KB, PDF document
Our model treating the rate bound in terms of a put option accurately predicts the CHF/EUR exchange rate following the removal of the lower bound of 1.20
Original language | English |
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Journal | Quantitative Finance |
Volume | 19 |
Issue number | 1 |
Pages (from-to) | 1-11 |
ISSN | 1469-7688 |
DOIs | |
Publication status | Published - 2 Jan 2019 |
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ID: 202033640