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...
Saved in:
Main Authors: | Pesee C., Mecapikanon N. |
---|---|
Format: | Article |
Language: | English |
Published: |
2014
|
Online Access: | http://www.scopus.com/inward/record.url?eid=2-s2.0-36348978498&partnerID=40&md5=df742ea569d27f30fb679d39c9065c41 http://cmuir.cmu.ac.th/handle/6653943832/1235 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Chiang Mai University |
Language: | English |
Similar Items
-
Long-memory of foreign exchange rate data
by: Chatchai Pesee, et al.
Published: (2018) -
Modelling long memory in exchange rate volatility
by: HO KIN YIP
Published: (2011) -
ANALYSIS OF VOLATILITY, ASYMMETRY EFFECT, AND LONG-TERM MEMORY ON FOREIGN EXCHANGE RATE USING THE GARCH ASYMMETRY MODEL.
by: Nurrizky Budi Novindra, Farhan -
ANALYSIS OF VOLATILITY, ASYMMETRY EFFECT AND LONG-TERM MEMORY ON FOREIGN EXCHANGE RATE USING THE GARCH ASYMMETRY MODEL
by: Nurrizky Budi Novindra, Farhan -
Foreign exchange prediction using the long short-term memory neural network
by: Zheng, Xiaojun
Published: (2019)