منابع مشابه
Volatility in Foreign Exchange Rates
Four foreign exchange spot rate series, recorded on an hourly basis for a six-month period in 1986 are examined. A seasonal GARCH model is developed to describe the time-dependent volatility apparent in the percentage nominal return of each currency. Hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worl...
متن کاملForecasting foreign exchange rates with
(2013) Forecasting foreign exchange rates with adaptive neural networks using radial basis functions and particle swarm optimization. The content must not be changed in any way or reproduced in any format or medium without the formal permission of the copyright holder(s) Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and particle swarm optimization...
متن کاملForeign Exchange Rates Forecasting with Neural Networks
| In this paper, a neural network based foreign exchange rates forecasting method is discussed. Neural networks with time series and technical indicators as inputs are built to capture the underlying \rules" of the movement in currency exchange rates. Before using historical data to train the neural networks, the traditional R/S analysis is used to test the \eeciency" of each market. The study ...
متن کاملModeling foreign exchange rates with jumps
This paper proposes a new discrete-time model of returns in which jumps capture persistence in the conditional variance. Jump arrival is governed by a heterogeneous Poisson process. The intensity is directed by a latent stochastic autoregressive process, while the jump-size distribution allows for conditional heteroskedasticity. Model evaluation focuses on the dynamics of the conditional distri...
متن کاملQuantitative Analysis of Foreign Exchange Rates
In our class project we have explored foreign exchange data. We analyze daily and hourly returns for the five major currencies, US dollar, Euro, Japanese yen, British pound, and the Swiss franc. The data can be best fitted by a q-Gaussian but we have not been able to model this behavior yet. We start investigating some traits of the distribution, like correlation and time dependence, to open th...
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ژورنال
عنوان ژورنال: Journal of International Money and Finance
سال: 1996
ISSN: 0261-5606
DOI: 10.1016/0261-5606(96)00001-0