Cointegration of Stochastic Multifractals with Application to Foreign Exchange Rates

Cointegration of Stochastic Multifractals with Application to Foreign Exchange Rates

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...

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Main Authors: TSE, Yiu Kuen, Anh, V. V., Tieng, Q. M.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2000
Subjects:
Economics
Online Access:https://ink.library.smu.edu.sg/soe_research/431
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spelling sg-smu-ink.soe_research-14302010-09-23T05:48:03Z Cointegration of Stochastic Multifractals with Application to Foreign Exchange Rates TSE, Yiu Kuen Anh, V. V. Tieng, Q. M. 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 processes are known to be intermittent, hence possess multiscaling characteristics. This paper develops a concept of cointegration for these stochastic multifractals. A model is suggested for testing for cointegration and applied to the exchange rates of three major currencies. 2000-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/431 info:doi/10.1111/j.1475-3995.2000.tb00204.x Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Economics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Economics
spellingShingle Economics
TSE, Yiu Kuen
Anh, V. V.
Tieng, Q. M.
Cointegration of Stochastic Multifractals with Application to Foreign Exchange Rates
description 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 processes are known to be intermittent, hence possess multiscaling characteristics. This paper develops a concept of cointegration for these stochastic multifractals. A model is suggested for testing for cointegration and applied to the exchange rates of three major currencies.
format text
author TSE, Yiu Kuen
Anh, V. V.
Tieng, Q. M.
author_facet TSE, Yiu Kuen
Anh, V. V.
Tieng, Q. M.
author_sort TSE, Yiu Kuen
title Cointegration of Stochastic Multifractals with Application to Foreign Exchange Rates
title_short Cointegration of Stochastic Multifractals with Application to Foreign Exchange Rates
title_full Cointegration of Stochastic Multifractals with Application to Foreign Exchange Rates
title_fullStr Cointegration of Stochastic Multifractals with Application to Foreign Exchange Rates
title_full_unstemmed Cointegration of Stochastic Multifractals with Application to Foreign Exchange Rates
title_sort cointegration of stochastic multifractals with application to foreign exchange rates
publisher Institutional Knowledge at Singapore Management University
publishDate 2000
url https://ink.library.smu.edu.sg/soe_research/431
_version_ 1770569173073657856

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