Martingale Regressions for a Continuous Time Model of Exchange Rates

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Guo, Zi-Yi;
  • Publisher: Hilo, Hi, USA: Institute for Business and Finance Research
  • Subject:
    • ddc: ddc:330

One of the daunting problems in international finance is the weak explanatory power of existing theories of the nominal exchange rates, the so-called “foreign exchange rate determination puzzle”. We propose a continuous-time model to study the impact of order flow on fo... View more
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