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

    246868_Yee H 2016.pdf (2.266Mb)
    Access Status
    Open access
    Authors
    Yee, Hong Ben
    Date
    2016
    Supervisor
    Assoc. Prof. Nikolai Dokuchaev
    Dr Kevin Fergusson
    Type
    Thesis
    Award
    PhD
    
    Metadata
    Show full item record
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/2317
    Collection
    • Curtin Theses
    Abstract

    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.

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