Fractional Dynamics in Japanese Financial Time Series
نویسندگان
چکیده
Using the spectral regression and Gaussian semiparametric methods of estimating the long-memory parameter, we test for fractional dynamic behavior in a number of important Japanese financial time series: spot exchange rates, forward exchange rates, stock prices, currency forward premia, Euroyen deposit rates, and the Euroyen term premium. Stochastic long memory is established as a feature of the currency forward premia, Euroyen deposit rates, and Euroyen term premium series. The martingale model cannot be rejected for the spot, forward, and stock price series. JEL codes: C22, G12
منابع مشابه
On The Behavior of Malaysian Equities: Fractal Analysis Approach
Fractal analyzing of continuous processes have recently emerged in literatures in various domains. Existence of long memory in many processes including financial time series have been evidenced via different methodologies in many literatures in past decade, which has inspired many recent literatures on quantifying the fractional Brownian motion (fBm) characteristics of financial time series. Th...
متن کاملComparative analysis of the effects of monetary and government financial expenditures shocks in the context of fractional and full reserve banking in Iran: DSGE approach
The present study aims to investigate the effects of monetary and financial shocks on macroeconomic variables in fractional and full reserve banking conditions. To this end, two stochastic dynamic general equilibrium models have been designed in terms of the realities of Iran's economy and then the effects of shocks have been studied. After determining the input values of the model and estima...
متن کاملResidual Power Series Method for Solving Time-fractional Model of Vibration Equation of Large Membranes
The primary aim of this manuscript is to present the approximate analytical solutions of the time fractional order α (1<α≤2) Vibration Equation (VE) of large membranes with the use of an iterative technique namely Residual Power Series Method (RPSM). The fractional derivative is defined in the Caputo sense. Example problems have been solved to demonstrate the efficacy of the present method and ...
متن کاملEmpirical observations of ultraslow diffusion driven by the fractional dynamics in languages: Dynamical statistical properties of word counts of already popular words
Ultraslow diffusion (i.e. logarithmic diffusion) has been extensively studied theoretically, but has hardly been observed empirically. In this paper, firstly, we find the ultraslow-like diffusion of the time-series of word counts of already popular words by analysing three different nationwide language databases: (i) newspaper articles (Japanese), (ii) blog articles (Japanese), and (iii) page v...
متن کاملApplication of the Fractal Market Hypothesis for Macroeconomic Time Series Analysis
This paper explores the conceptual background to financial time series analysis and financial signal processing in terms of the Efficient Market Hypothesis. By revisiting the principal conventional approaches to market analysis and the reasoning associated with them, we develop a Fractal Market Hypothesis that is based on the application of non-stationary fractional dynamics using an operator o...
متن کامل