A Typology of Foreign Exchange Rates Models
In this introductory chapter, we propose a typology of foreign exchange models according to their asymptotic equilibria. This typology is, of course, only indicative and does not cover all the different types of foreign exchange models. In particular, models based on the use of technical analysis such as in the last chapter do not fit very well in that typology, nor do models based on the microstructure of the markets (see Lyons, 1999). Nonetheless, the following figure should give a good overview of the different approaches adopted in this book.
KeywordsCovariance Income Volatility Rium Defend
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