Markov and long-memory modelling of bounded financial processes: the case of a currency band
This work constructs evolution models for financial time series evolving within a bounded interval. They are calibrated using the USD/HKD exchange rate when the rate is confined to a specified corridor. Within the general Markov framework, a 1D model replicated the bounded distribution of the proces...
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| Format: | Thesis |
| Language: | English |
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Curtin University
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/2317 |