The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

Michael Hanke, Rolf Poulsen, Alex Weissensteiner

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
OriginalsprogEngelsk
TidsskriftQuantitative Finance
Vol/bind19
Tidsskriftsnummer1
Sider (fra-til)1-11
ISSN1469-7688
DOI
StatusUdgivet - 2 jan. 2019

ID: 202033640