Dynamical Analyses of the Time Series for Three Foreign Exchange Rates

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In this study, we investigate the multifractal properties of three foreign exchange rates (USD-KRW, USD-JPY, and EUR-USD) that are quoted with different economic scales. We estimate and analyze both the generalized Hurst exponent and the autocorrelation function in three foreign exchange rates. The USD-KRW is shown to have the strongest of the Hurst exponents when compared with the other two foreign exchange rates. In particular, the autocorrelation function of the USD-KRW has the largest memory behavior among three foreign exchange rates. It also exhibits a long-memory property in the first quarter, more than those in the other quarters.
Publisher
KOREAN PHYSICAL SOC
Issue Date
2012-05
Language
English
Article Type
Article
Keywords

MULTIFRACTAL ANALYSIS; STOCK-MARKET; HONG-KONG; INDEX

Citation

JOURNAL OF THE KOREAN PHYSICAL SOCIETY, v.60, no.9, pp.1473 - 1476

ISSN
0374-4884
DOI
10.3938/jkps.60.1473
URI
http://hdl.handle.net/10203/103614
Appears in Collection
PH-Journal Papers(저널논문)
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