Construction of models for bounded price processes: the case of the HKD exchange rate
This paper discusses construction of evolution models for financial time series evolving within a given interval. We calibrated a model for the case of the USD/HKD exchange rate after the separation of strong and weak side convertibility undertakings, in which the rate is confined to a specified cor...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
World Scientific Publishing Co.
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/36716 |
| _version_ | 1848754847585665024 |
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| author | Yee, H.B. Dokuchaev, Nikolai |
| author_facet | Yee, H.B. Dokuchaev, Nikolai |
| author_sort | Yee, H.B. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This paper discusses construction of evolution models for financial time series evolving within a given interval. We calibrated a model for the case of the USD/HKD exchange rate after the separation of strong and weak side convertibility undertakings, in which the rate is confined to a specified corridor. This process represents an interesting example of a tradable bounded process. A 1D model was able to replicate the bounded distribution of the process, but a 2D model better captured dynamics as measured by the volatility without losing features of the 1D model. We briefly consider the ergodic properties of these models. |
| first_indexed | 2025-11-14T08:46:55Z |
| format | Journal Article |
| id | curtin-20.500.11937-36716 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:46:55Z |
| publishDate | 2015 |
| publisher | World Scientific Publishing Co. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-367162017-09-13T15:20:30Z Construction of models for bounded price processes: the case of the HKD exchange rate Yee, H.B. Dokuchaev, Nikolai bounded financial time series currency corridor 2D Markov model This paper discusses construction of evolution models for financial time series evolving within a given interval. We calibrated a model for the case of the USD/HKD exchange rate after the separation of strong and weak side convertibility undertakings, in which the rate is confined to a specified corridor. This process represents an interesting example of a tradable bounded process. A 1D model was able to replicate the bounded distribution of the process, but a 2D model better captured dynamics as measured by the volatility without losing features of the 1D model. We briefly consider the ergodic properties of these models. 2015 Journal Article http://hdl.handle.net/20.500.11937/36716 10.1142/S2010495215500116 World Scientific Publishing Co. fulltext |
| spellingShingle | bounded financial time series currency corridor 2D Markov model Yee, H.B. Dokuchaev, Nikolai Construction of models for bounded price processes: the case of the HKD exchange rate |
| title | Construction of models for bounded price processes: the case of the HKD exchange rate |
| title_full | Construction of models for bounded price processes: the case of the HKD exchange rate |
| title_fullStr | Construction of models for bounded price processes: the case of the HKD exchange rate |
| title_full_unstemmed | Construction of models for bounded price processes: the case of the HKD exchange rate |
| title_short | Construction of models for bounded price processes: the case of the HKD exchange rate |
| title_sort | construction of models for bounded price processes: the case of the hkd exchange rate |
| topic | bounded financial time series currency corridor 2D Markov model |
| url | http://hdl.handle.net/20.500.11937/36716 |