Long-memory of foreign exchange rate data

• المؤلفون الرئيسيون: Chatchai Pesee, Natthapon Mecapikanon
• التنسيق: دورية
• منشور في: 2018
• الموضوعات: Agricultural and Biological Sciences
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=36348978498&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/60780
• المؤسسة: Chiang Mai University

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...