The CHF/EUR Exchange Rate during the Swiss National Bank’s Minimum Exchange Rate Policy: A Latent Likelihood Approach
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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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Hanke M; Poulsen R; Weissensteiner A (WILEY-BLACKWELL, 2015)Since its announcement made on September 6, 2011, the Swiss National Bank (SNB) has been pursuing the goal of a minimum EUR/CHF exchange rate of 1.20, promising to intervene on currency markets to prevent the exchange rate ...
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Durante, F; Fernández-Sánchez, J; Trutschnig, W (Elsevier, 2016)Considering two different metrics on the space of two-dimensional copulas CC we prove some Baire category results for important subclasses of copulas, including the families of exchangeable, associative, and Archimedean ...