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

M. Hanke, R. Poulsen and A. Weissensteiner

Quantitative Finance, 2019, vol. 19, issue 1, 1-11

Abstract: 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

Date: 2019
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