Markov and long-memory modelling of bounded financial processes: the case of a currency band

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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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Bibliographic Details
Main Author:	Yee, Hong Ben
Format:	Thesis
Language:	English
Published:	Curtin University 2016
Online Access:	http://hdl.handle.net/20.500.11937/2317

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