Markov and long-memory modelling of bounded financial processes: the case of a currency band
| dc.contributor.author | Yee, Hong Ben | |
| dc.contributor.supervisor | Assoc. Prof. Nikolai Dokuchaev | |
| dc.contributor.supervisor | Dr Kevin Fergusson | |
| dc.date.accessioned | 2017-01-30T10:20:08Z | |
| dc.date.available | 2017-01-30T10:20:08Z | |
| dc.date.created | 2016-12-01T03:23:44Z | |
| dc.date.issued | 2016 | |
| dc.identifier.uri | http://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.language | en | |
| dc.publisher | Curtin University | |
| dc.title | Markov and long-memory modelling of bounded financial processes: the case of a currency band | |
| dc.type | Thesis | |
| dcterms.educationLevel | PhD | |
| curtin.department | Department of Mathematics and Statistics | |
| curtin.accessStatus | Open access |