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Approximating stationary long memory processes by an AR model with application to foreign exchange rate

机译：用AR模型逼近固定长记忆过程及其在汇率中的应用。

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作者
Wang, Shin-Huei;
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作者单位

University of Southern California;

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授予单位 University of Southern California;
学科
学位 Ph.D.
年度 2007
页码 79 p.
总页数 79
原文格式 PDF
正文语种 eng
中图分类
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4. Modelling Jump Clustering in the Four Major Foreign Exchange Rates Using High-Frequency Returns and Cross-Exciting Jump Processes [C] . Milan Ficura Conference on Finance and Accounting . 2015

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5. Modeling marked point processes with an application to currency exchange rates. [D] . Li, Wei. 2000

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7. Modelling Jump Clustering in the Four Major Foreign Exchange Rates Using High-Frequency Returns and Cross-exciting Jump Processes [O] . Fičura Milan 2015

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Approximating stationary long memory processes by an AR model with application to foreign exchange rate

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