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    Construction of models for bounded price processes: the case of the HKD exchange rate

    227788_159465_hkd_my.pdf (1.947Mb)
    Access Status
    Open access
    Authors
    Yee, H.B.
    Dokuchaev, Nikolai
    Date
    2015
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Yee, H.B. and Dokuchaev, N. 2015. Construction of models for bounded price processes: the case of the HKD exchange rate. Annals of Financial Economics. 10: Article ID 1550011.
    Source Title
    Annals of Financial Economics
    DOI
    10.1142/S2010495215500116
    ISSN
    2010-4952
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/36716
    Collection
    • Curtin Research Publications
    Abstract

    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.

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