Cointegration of Stochastic Multifractals with Application to Foreign Exchange Rates

• المؤلفون الرئيسيون: TSE, Yiu Kuen, Anh, V. V., Tieng, Q. M.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2000
• الموضوعات: Economics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/431
• المؤسسة: Singapore Management University

The existing concept of cointegration applies to integrated processes (in the Box-Jenkins ARIMA framework) or processes with long-range dependence. These processes are assumed to display a monoscaling behaviour (such as that of a fractional Brownian motion). On the other hand, many turbulent process...