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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Bibliographic Details
Main Authors: Chatchai Pesee, Natthapon Mecapikanon
Format: Journal
Published: 2018
Subjects:
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=36348978498&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/60780
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Institution: Chiang Mai University