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Quantitative Finance Volume 19, 2019 - Issue 1
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The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach

M. HankeInstitute for Finance, University of Liechtenstein, Vaduz, Liechtenstein
,
R. PoulsenDepartment of Mathematical Sciences, University of Copenhagen, Copenhagen, Denmark
&
A. WeissensteinerSchool of Economics and Management, Free University of Bozen-Bolzano, Bozen, ItalyCorrespondence[email protected]
Pages 1-11 | Received 21 Jun 2017, Accepted 08 Jun 2018, Published online: 03 Sep 2018

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Yunbo Zhang & Samuel Drapeau. (2022) On model robustness of the regime switching approach for pegged foreign exchange markets. Quantitative Finance 22:7, pages 1371-1390.
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Articles from other publishers (11)

Julien Pinter & Marc Pourroy. (2023) How can financial constraints force a central bank to exit a currency peg? An application to the Swiss franc peg. Journal of Macroeconomics 75, pages 103493.
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Piotr Kotlarz, Michael Hanke & Sebastian Stöckl. (2023) Regime-dependent drivers of the EUR/CHF exchange rate. Swiss Journal of Economics and Statistics 159:1.
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Markus Hertrich. (2021) Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc. Review of International Economics 30:2, pages 450-489.
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Ali Nasir, Ambreen Khursheed, Kazim Ali & Faisal Mustafa. (2020) A Markov Decision Process Model for Optimal Trade of Options Using Statistical Data. Computational Economics 58:2, pages 327-346.
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Shaolong Sun, Shouyang Wang & Yunjie Wei. (2020) A new ensemble deep learning approach for exchange rates forecasting and trading. Advanced Engineering Informatics 46, pages 101160.
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Michael Hanke, Rolf Poulsen & Alex Weissensteiner. (2018) Event-Related Exchange-Rate Forecasts Combining Information from Betting Quotes and Option Prices. Journal of Financial and Quantitative Analysis 53:6, pages 2663-2683.
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Cho-Hoi Hui, Chi-Fai Lo & Chi-Hei Liu. (2020) Foreign Exchange Dynamics and Reserve Accumulation under Capital Inflows. SSRN Electronic Journal.
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Sandro Claudio Lera, Didier Sornette & Florian Ulmann. (2019) Price Dynamics with Circuit Breakers. SSRN Electronic Journal.
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Julien Pinter & Marc Pourroy. (2019) How Can Financial Constraints Force a Central Bank to Exit a Currency Peg? An Application to the Swiss Franc Peg. SSRN Electronic Journal.
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Ki Young Park & Soohyon Kim. (2018) Detecting Currency Manipulation: An Application of State-Spacemodel with Markov Switching. SSRN Electronic Journal.
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Sandro Claudio Lera, Matthias Leiss & Didier Sornette. (2017) Currency Target Zones as Mirrored Options. SSRN Electronic Journal.
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