Blar i Discussion Papers på emneord "Valutakurser"
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Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
(Discussion Papers;601, Working paper, 2009)This paper aims to develop new methods for statistical inference in a class of stochastic volatility models for financial data based on non-Gaussian Ornstein-Uhlenbeck (OU) processes. Our approach uses indirect inference ... -
Multivariate stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes : a quasi-likelihood approach
(Discussion Papers;614, Working paper, 2010)This paper extends the ordinary quasi-likelihood estimator for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck (OU) processes to vector processes. Despite the fact that multivariate modeling of asset ... -
Trade liberalisation and import price behaviour : the case of textiles and wearing apparels
(Discussion Papers;605, Working paper, 2010)Previous studies on the relationship between exchange rates and traded goods prices typically find evidence of incomplete pass-through, usually explained by pricing-to-market behaviour. Although economic theory predicts ... -
Using Engel curves to estimate purchasing power parity : a case study of the computation of the exchange rate between the Norwegian krone and the U.S. dollar
(Discussion Papers;580, Working paper, 2009)Standard practice of estimating purchasing power parities (PPP) involves using prices, in domestic currencies, of a common basket of goods and services, then calculating the price-equalizing exchange rate. In this article, ...