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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th-cmuir.6653943832-607802018-09-10T03:59:33Z Long-memory of foreign exchange rate data Chatchai Pesee Natthapon Mecapikanon Agricultural and Biological Sciences 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. 2018-09-10T03:59:33Z 2018-09-10T03:59:33Z 2007-10-01 Journal 00755192 2-s2.0-36348978498 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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Agricultural and Biological Sciences |
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Agricultural and Biological Sciences Chatchai Pesee Natthapon Mecapikanon Long-memory of foreign exchange rate data |
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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. |
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Journal |
| author |
Chatchai Pesee Natthapon Mecapikanon |
| author_facet |
Chatchai Pesee Natthapon Mecapikanon |
| author_sort |
Chatchai Pesee |
| 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 |
2018 |
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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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