Long-memory of Foreign Exchange Rate Data

ผู้แต่ง

  • Chatchai Pesee Department of Mathematics, Faculty of Science, Kasetsart University, Bangkok 10900, Thailand.
  • Natthapon Mecapikanon Department of Professional Development in Education, Faculty of Education, Chiang Mai University, Chiang Mai 50200, Thailand.

คำสำคัญ:

fractional Brownian motion, long-range dependence, short-range dependence, memory, spectral density function

บทคัดย่อ

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.

ดาวน์โหลด

เผยแพร่แล้ว

2007-12-30

รูปแบบการอ้างอิง

Chatchai Pesee, และ Natthapon Mecapikanon. 2007. “Long-memory of Foreign Exchange Rate Data”. Agriculture and Natural Resources 41 (4). Bangkok, Thailand:792-97. https://li01.tci-thaijo.org/index.php/anres/article/view/244325.

ฉบับ

ปีที่ 41 ฉบับที่ 4 (2007): October-December

ประเภทบทความ

Research Article

สัญญาอนุญาต

online 2452-316X print 2468-1458/Copyright © 2022. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/),
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