Long memory estimation in a non-Gaussian bivariate process
Long memory estimation in a non-Gaussian bivariate process
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非高斯二元过程中的长记忆估计
DOI：
10.1016/j.amc.2021.126871
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发表时间：
2022
影响因子：
4
通讯作者：
Milan Stehlik
中科院分区：
文献类型：
--
作者：
Ledys Llasmin Salazar GomeZ,Soledad Trres;Jozef Kisel'ak;Felix Fuders;Naoyuki Ishimura;Yasukazu Yoshizawa;Milan Stehlik
本文的主要目的是分析外汇汇率的波动，并识别/描述与外汇市场相关的随机过程中的依赖结构。具体而言，研究的重点是两种货币之间的依赖关系及其背后的随机过程。一个一般的新方法的介绍，并表现出令人满意的工作在各种问题上分析的二元金融时间序列可能具有重尾。这种方法可以作为一种强有力的工具来改善对汇率波动的预测，这是货币和财政政策的关键决策。在更广泛的范围内，它可以帮助预测金融危机。这些结果也可以解释为什么购买力平价理论并不总是成立。
The main objective of this paper is to analyze fluctuations of foreign currency exchange rates and to identify / describe the dependence structure in stochastic processes associated with the foreign exchange market. Specifically, the study focuses on the dependence relationship between two currencies and the stochastic process underlying them. A general novel methodology is introduced, and shown to work satisfactorily on a variety of problems analyzing the bivariate financial time series possibly possessing heavy tails. This methodology can be used as powerful tool to improve the prediction of exchange rate fluctuations, which is key decision taking in monetary and fiscal policy. In the wider spectrum it can help to predict financial crises. The results could also serve to explain why thePurchasing Power Paritytheory does not always hold.