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...
| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
Curtin University
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/2317 |
| _version_ | 1848743920940351488 |
|---|---|
| author | Yee, Hong Ben |
| author_facet | Yee, Hong Ben |
| author_sort | Yee, Hong Ben |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 process, but a 2D model better captured dynamics as measured by the volatility. By estimating the Hurst exponent using the rescaled range method, fractional Brownian motion could be employed. |
| first_indexed | 2025-11-14T05:53:14Z |
| format | Thesis |
| id | curtin-20.500.11937-2317 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T05:53:14Z |
| publishDate | 2016 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-23172017-02-20T06:38:10Z Markov and long-memory modelling of bounded financial processes: the case of a currency band Yee, Hong Ben 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 process, but a 2D model better captured dynamics as measured by the volatility. By estimating the Hurst exponent using the rescaled range method, fractional Brownian motion could be employed. 2016 Thesis http://hdl.handle.net/20.500.11937/2317 en Curtin University fulltext |
| spellingShingle | Yee, Hong Ben Markov and long-memory modelling of bounded financial processes: the case of a currency band |
| title | Markov and long-memory modelling of bounded financial processes: the case of a currency band |
| title_full | Markov and long-memory modelling of bounded financial processes: the case of a currency band |
| title_fullStr | Markov and long-memory modelling of bounded financial processes: the case of a currency band |
| title_full_unstemmed | Markov and long-memory modelling of bounded financial processes: the case of a currency band |
| title_short | Markov and long-memory modelling of bounded financial processes: the case of a currency band |
| title_sort | markov and long-memory modelling of bounded financial processes: the case of a currency band |
| url | http://hdl.handle.net/20.500.11937/2317 |