Foreign Exchange Market — Filtering Applications

Ramaprasad Bhar
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Ramaprasad Bhar: The University of New South Wales, Australia

Chapter 2 in Stochastic Filtering with Applications in Finance, 2010, pp 20-47 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Mean Reversion in Real Exchange RatesCommon and Specific Components in Currency MovementsPersistent in Real Interest Rate DifferentialsRisk Premia in Forward Exchange RateApproach based on Market Price of Risk (BCP)Method of Wolff/CheungData and Empirical ResultsSummary of Section 2.4Concluding Remarks

Keywords: Kalman Filter; Stochastic Volatility; Unscented Kalman Filter; Extended Kalman Filter; Interest Rate Process; Stochastic Volatility; Inflation Uncertainty; Forward Exchange Rate; Equity Price of Risk; Credit Default Swaps (search for similar items in EconPapers)
Date: 2010
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