Long-memory of foreign exchange rate data
This paper investigates long-memory of foreign exchange rate data by the fractional Brownian motion (fBm). We use the principle of spectral density function to find the range of Hurst parameter (H) of the fBm. If 0< H <1/2, then it has a short-range dependence (SRD). It simulates long-range de...
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2014
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th-cmuir.6653943832-12352014-08-29T09:26:56Z Long-memory of foreign exchange rate data Pesee C. Mecapikanon N. This paper investigates long-memory of foreign exchange rate data by the fractional Brownian motion (fBm). We use the principle of spectral density function to find the range of Hurst parameter (H) of the fBm. If 0< H <1/2, then it has a short-range dependence (SRD). It simulates long-range dependence (LRD) if 1/2< H <1. The curve of foreign exchange rate data is fBm because of the specific appearance of the Hurst parameter (H). Our results indicate that there exists a long-range dependence (LRD) or a long- memory for the foreign exchange rate data. If it has LRD, then it has memory predictable in Time Series method for the next step. 2014-08-29T09:26:56Z 2014-08-29T09:26:56Z 2007 Article 00755192 http://www.scopus.com/inward/record.url?eid=2-s2.0-36348978498&partnerID=40&md5=df742ea569d27f30fb679d39c9065c41 http://cmuir.cmu.ac.th/handle/6653943832/1235 English |
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This paper investigates long-memory of foreign exchange rate data by the fractional Brownian motion (fBm). We use the principle of spectral density function to find the range of Hurst parameter (H) of the fBm. If 0< H <1/2, then it has a short-range dependence (SRD). It simulates long-range dependence (LRD) if 1/2< H <1. The curve of foreign exchange rate data is fBm because of the specific appearance of the Hurst parameter (H). Our results indicate that there exists a long-range dependence (LRD) or a long- memory for the foreign exchange rate data. If it has LRD, then it has memory predictable in Time Series method for the next step. |
| format |
Article |
| author |
Pesee C. Mecapikanon N. |
| spellingShingle |
Pesee C. Mecapikanon N. Long-memory of foreign exchange rate data |
| author_facet |
Pesee C. Mecapikanon N. |
| author_sort |
Pesee C. |
| title |
Long-memory of foreign exchange rate data |
| title_short |
Long-memory of foreign exchange rate data |
| title_full |
Long-memory of foreign exchange rate data |
| title_fullStr |
Long-memory of foreign exchange rate data |
| title_full_unstemmed |
Long-memory of foreign exchange rate data |
| title_sort |
long-memory of foreign exchange rate data |
| publishDate |
2014 |
| url |
http://www.scopus.com/inward/record.url?eid=2-s2.0-36348978498&partnerID=40&md5=df742ea569d27f30fb679d39c9065c41 http://cmuir.cmu.ac.th/handle/6653943832/1235 |
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