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dc.contributor.authorYee, Hong Ben
dc.contributor.supervisorAssoc. Prof. Nikolai Dokuchaev
dc.contributor.supervisorDr Kevin Fergusson
dc.date.accessioned2017-01-30T10:20:08Z
dc.date.available2017-01-30T10:20:08Z
dc.date.created2016-12-01T03:23:44Z
dc.date.issued2016
dc.identifier.urihttp://hdl.handle.net/20.500.11937/2317
dc.description.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.

dc.languageen
dc.publisherCurtin University
dc.titleMarkov and long-memory modelling of bounded financial processes: the case of a currency band
dc.typeThesis
dcterms.educationLevelPhD
curtin.departmentDepartment of Mathematics and Statistics
curtin.accessStatusOpen access


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