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: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2014
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| 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 |
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| Institution: | Chiang Mai University |
| Language: | English |
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