The research of the RMB exchange rate fluctuations based on wavelet transform LMSV model

摘要：

Wavelet into the LMSV model fluctuations in the estimates of long memory and inspection,made based on wavelet transform LMSV model fluctuations in the pseudo-long memory of maximum likelihood estimates of volatility and long memory of the test methods,and the Exchange rate fluctuations sequence long memory effect the size of the extent of verification.The results show that the existence of a long sequence of exchange rate fluctuations memory effect,the RMB against the U.S.dollar exchange rate fluctuations by the sequence of historical information highest degree of impact.

关键词： LMSV model ARFIMA process long memory exchange rate fluctuations

作者: Zongyi Hu Yingying Wang Pan Ding

作者单位: School of statistics,Hunan University,Changsha,410079,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 389-392

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）