Long memory estimation in a non-Gaussian bivariate process

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dc.contributor.authorGomez, L.
dc.contributor.authorTorres, S.
dc.contributor.authorKiseľák, J.
dc.contributor.authorFuders, F.
dc.contributor.authorIshimura, N.
dc.contributor.authorYoshizawa, Y.
dc.contributor.authorStehlík, M.
dc.date.accessioned2022-04-22T15:59:02Z
dc.date.available2022-04-22T15:59:02Z
dc.date.issued2022-05
dc.descriptionIndexación: Scopus.es
dc.description.abstractThe 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 the Purchasing Power Parity theory does not always hold.es
dc.description.urihttps://www.sciencedirect.com/science/article/pii/S0096300321009541?via%3Dihub
dc.identifier.citationApplied Mathematics and Computation, Volume 4201, May 2022, Article number 126871es
dc.identifier.doi10.1016/j.amc.2021.126871
dc.identifier.issn0096-3003
dc.identifier.urihttps://repositorio.unab.cl/xmlui/handle/ria/22375
dc.language.isoenes
dc.publisherElsevier Inc.es
dc.subjectCopula functiones
dc.subjectDiscrete wavelet transformes
dc.subjectGTCLM modeles
dc.subjectHurst parameteres
dc.subjectNon-Gaussian processes
dc.subjectStudent t distributiones
dc.subjectBivariatees
dc.subjectCopula functionses
dc.subjectDiscrete-wavelet-transformes
dc.subjectGTCLM modeles
dc.subjectHurst parameteres
dc.subjectLong memoryes
dc.subjectMemory estimationes
dc.subjectNon-Gaussian processes
dc.subjectStudent's t distributiones
dc.subjectStudent-t distributiones
dc.titleLong memory estimation in a non-Gaussian bivariate processes
dc.typeArtículoes
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