Jump Processes in Exchange Rates Modeling
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21630%2F13%3A00211437" target="_blank" >RIV/68407700:21630/13:00211437 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Jump Processes in Exchange Rates Modeling
Original language description
This text presents a study of various models based on jump processes in the context of foreign exchange (FX) rates modeling. Quality of FX rate log-returns fit is assessed for models such as Merton and Kou jump-diffusions, normal inverse Gaussian, variance gamma, and Meixner. The study is illustrated by simulation results that are provided for each of the models considered. Jump models are contrasted to the well-known (continuous) Brownian motion model.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
VI. mezinárodní vědecká konference doktorandů a mladých vědeckých pracovníků
ISBN
978-80-7248-901-5
ISSN
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e-ISSN
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Number of pages
27
Pages from-to
514-540
Publisher name
Slezská univerzita
Place of publication
Opava
Event location
Karviná
Event date
Nov 8, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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