Long-memory of foreign exchange rate data

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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Main Authors:	Pesee C., Mecapikanon N.
格式:	Article
語言:	English
出版:	2014
在線閱讀:	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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