EN
CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY
Abstract
This study aims to construct continuous-time autoregressive (CAR) model and continuous-time GARCH (COGARCH) model from discrete time data of foreign exchange rate of United States Dollar (USD) versus Turkish Lira (TRY). These processes are solutions to stochastic differential equation Lévy-driven processes. We have shown that CAR(1) and COGARCH(1,1) processes are proper models to represent foreign exchange rate of USD and TRY for different periods of time February 2002- June 2010
Keywords
References
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- process driven by a Levy process: stationarity and second order behavior”, J. Appl. Prob.,41(3):601--622, 2004
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Details
Primary Language
English
Subjects
-
Journal Section
-
Publication Date
June 1, 2011
Submission Date
June 1, 2011
Acceptance Date
-
Published in Issue
Year 2011 Volume: 3 Number: 1
APA
Arı, Y., & Ünal, G. (2011). CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY. International Journal of Economics and Finance Studies, 3(1), 251-261. https://izlik.org/JA86LM52JH
AMA
1.Arı Y, Ünal G. CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY. IJEFS. 2011;3(1):251-261. https://izlik.org/JA86LM52JH
Chicago
Arı, Yakup, and Gazanfer Ünal. 2011. “CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY”. International Journal of Economics and Finance Studies 3 (1): 251-61. https://izlik.org/JA86LM52JH.
EndNote
Arı Y, Ünal G (June 1, 2011) CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY. International Journal of Economics and Finance Studies 3 1 251–261.
IEEE
[1]Y. Arı and G. Ünal, “CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY”, IJEFS, vol. 3, no. 1, pp. 251–261, June 2011, [Online]. Available: https://izlik.org/JA86LM52JH
ISNAD
Arı, Yakup - Ünal, Gazanfer. “CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY”. International Journal of Economics and Finance Studies 3/1 (June 1, 2011): 251-261. https://izlik.org/JA86LM52JH.
JAMA
1.Arı Y, Ünal G. CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY. IJEFS. 2011;3:251–261.
MLA
Arı, Yakup, and Gazanfer Ünal. “CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY”. International Journal of Economics and Finance Studies, vol. 3, no. 1, June 2011, pp. 251-6, https://izlik.org/JA86LM52JH.
Vancouver
1.Yakup Arı, Gazanfer Ünal. CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY. IJEFS [Internet]. 2011 Jun. 1;3(1):251-6. Available from: https://izlik.org/JA86LM52JH