Construction of models for bounded price processes: the case of the HKD exchange rate
| dc.contributor.author | Yee, H.B. | |
| dc.contributor.author | Dokuchaev, Nikolai | |
| dc.date.accessioned | 2017-01-30T13:57:15Z | |
| dc.date.available | 2017-01-30T13:57:15Z | |
| dc.date.created | 2015-07-16T06:22:02Z | |
| dc.date.issued | 2015 | |
| dc.identifier.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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/36716 | |
| dc.identifier.doi | 10.1142/S2010495215500116 | |
| dc.description.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. | |
| dc.publisher | World Scientific Publishing Co. | |
| dc.subject | bounded financial time series | |
| dc.subject | currency corridor | |
| dc.subject | 2D Markov model | |
| dc.title | Construction of models for bounded price processes: the case of the HKD exchange rate | |
| dc.type | Journal Article | |
| dcterms.source.volume | TBA | |
| dcterms.source.issn | 2010-4952 | |
| dcterms.source.title | Annals of Financial Economics | |
| curtin.department | Department of Mathematics and Statistics | |
| curtin.accessStatus | Open access |