The research of the RMB exchange rate fluctuations based on wavelet transform LMSV model

被引：0
|
作者：
Hu, Zongyi [1 ]
Wang, Yingying [1 ]
Ding, Pan [1 ]
机构：
[1] Hunan Univ, Sch Stat, Changsha 410079, Hunan, Peoples R China
来源：
ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING | 2008年 / 5卷
关键词：
LMSV model; ARFIMA process; long memory; exchange rate fluctuations;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Wavelet into the LMSV model fluctuations in the estimates of long memory and inspection, made based on wavelet transform LMSV model fluctuations in the pseudo-long memory of maximum likelihood estimates of volatility and long memory of the test methods, and the Exchange rate fluctuations sequence long memory effect the size of the extent of verification. The results show that the existence of a long sequence of exchange rate fluctuations memory effect, the RMB against the U.S. dollar exchange rate fluctuations by the sequence of historical information highest degree of impact.
引用
收藏
页码：389 / 392
页数：4
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