The CHF/EUR Exchange Rate during the Swiss National Bank’s Minimum Exchange Rate Policy: A Latent Likelihood Approach

M Hanke; R Poulsen; Alex Weissensteiner

doi:10.1080/14697688.2018.1489137

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The CHF/EUR Exchange Rate during the Swiss National Bank’s Minimum Exchange Rate Policy: A Latent Likelihood Approach

Journal article

Peer reviewed

The CHF/EUR Exchange Rate during the Swiss National Bank’s Minimum Exchange Rate Policy: A Latent Likelihood Approach

M Hanke, R Poulsen and Alex Weissensteiner

Quantitative Finance, Vol.19(1), pp.1-11

02/01/2019

DOI: https://doi.org/10.1080/14697688.2018.1489137

Handle:

https://hdl.handle.net/10863/8235

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.

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https://www.tandfonline.com/doi/full/10.1080/14697688.2018.1489137View

Details

Title: The CHF/EUR Exchange Rate during the Swiss National Bank’s Minimum Exchange Rate Policy: A Latent Likelihood Approach
Creators: M Hanke
R Poulsen
Alex Weissensteiner
Publication Details: Quantitative Finance, Vol.19(1), pp.1-11
ISSN: 1469-7688
EISSN: 1469-7696
Series / Volume: 19
Publisher: Taylor & Francis (Routledge): SSH Titles
Number of pages: 11
Identifiers: (UNIBZ)27904683
991005772685201241
Web of Science ID: 000454594200001
Scopus ID: 2-s2.0-85053274058
Academic Unit: Faculty of Economics and Management
Language: English
Resource Type: Journal article
Author Names String: Hanke M, Poulsen R, Weissensteiner A

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