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CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY

Year 2011, Volume: 3 Issue: 1, 251 - 261, 01.06.2011

Yakup Arı Gazanfer Ünal

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

Continuous modeling CAR COGARCH

References

  • O. A. Dickey, and W. A. Fuller, “Distribution for the estimates for auto- regressive time series with a unit root”, J. Amer. Statist. Assoc., 74:427--431, 1979
  • Brockwell P.J., Continuous-Time ARMA Processes, [in] Rao C.R. and
  • Shanbhag D.N. (editors), Stochastic Processes: Theory and Methods,“Handbook of Statistics” 2000, 19, p.249-276.
  • R. F. Engle, “Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation”, Econometrica, 50:987--1007, 1982
  • C. Klüppelberg, A. Lindner, and R. Maller, “A continuous time GARCH
  • process driven by a Levy process: stationarity and second order behavior”, J. Appl. Prob.,41(3):601--622, 2004
  • E.P.G Box, M.G Jenkins., C.G Reinsel. Time Series Analysis- Forecasting and Control, Prentice-Hall,1994
  • P.J. Brockwell and R.A. Davis. Itroduction to Time Series and Forecasting, Springer,2001, p.p. 22-60
  • S. J. Taylor, “Financial returns modeled by the product of two stochastic processes: a study of daily sugar prices 1961-79”. In O. D. Anderson, editor, Time Series Analysis:Theory and Practice, volume 1, pages 203--226. North- Holland, Amsterdam, 1982
  • D. B. Nelson, “ARCH models as diffusion approximations”, J. Econometrics, 45:7-38,1990
  • J. C. Duan, , “Augmented GARCH(p; q) process and its diffusion limit”, J. Econometrics,79-97, 1997
  • Benth E.B., Benth J.B., Koekebakker S., Stochastic Modelling of Electricity and Related Markets. World Scientific, Singapore 2008
  • Brockwell P.J., Lévy-Driven CARMA Processes, “Annals of the Institute of 1, 53 Statistical Mathematics” 200, p. 113-124

Year 2011, Volume: 3 Issue: 1, 251 - 261, 01.06.2011

Yakup Arı Gazanfer Ünal

Abstract

References

  • O. A. Dickey, and W. A. Fuller, “Distribution for the estimates for auto- regressive time series with a unit root”, J. Amer. Statist. Assoc., 74:427--431, 1979
  • Brockwell P.J., Continuous-Time ARMA Processes, [in] Rao C.R. and
  • Shanbhag D.N. (editors), Stochastic Processes: Theory and Methods,“Handbook of Statistics” 2000, 19, p.249-276.
  • R. F. Engle, “Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation”, Econometrica, 50:987--1007, 1982
  • C. Klüppelberg, A. Lindner, and R. Maller, “A continuous time GARCH
  • process driven by a Levy process: stationarity and second order behavior”, J. Appl. Prob.,41(3):601--622, 2004
  • E.P.G Box, M.G Jenkins., C.G Reinsel. Time Series Analysis- Forecasting and Control, Prentice-Hall,1994
  • P.J. Brockwell and R.A. Davis. Itroduction to Time Series and Forecasting, Springer,2001, p.p. 22-60
  • S. J. Taylor, “Financial returns modeled by the product of two stochastic processes: a study of daily sugar prices 1961-79”. In O. D. Anderson, editor, Time Series Analysis:Theory and Practice, volume 1, pages 203--226. North- Holland, Amsterdam, 1982
  • D. B. Nelson, “ARCH models as diffusion approximations”, J. Econometrics, 45:7-38,1990
  • J. C. Duan, , “Augmented GARCH(p; q) process and its diffusion limit”, J. Econometrics,79-97, 1997
  • Benth E.B., Benth J.B., Koekebakker S., Stochastic Modelling of Electricity and Related Markets. World Scientific, Singapore 2008
  • Brockwell P.J., Lévy-Driven CARMA Processes, “Annals of the Institute of 1, 53 Statistical Mathematics” 200, p. 113-124
There are 13 citations in total.

Details

Other ID JA65NY99UG
Journal Section Articles
Authors

Yakup Arı This is me

Gazanfer Ünal This is me

Publication Date June 1, 2011
Published in Issue Year 2011 Volume: 3 Issue: 1

Cite

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.
AMA Arı Y, Ünal G. CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY. IJEFS. June 2011;3(1):251-261.
Chicago Arı, Yakup, and Gazanfer Ünal. “CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY”. International Journal of Economics and Finance Studies 3, no. 1 (June 2011): 251-61.
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 Y. Arı and G. Ünal, “CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY”, IJEFS, vol. 3, no. 1, pp. 251–261, 2011.
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 2011), 251-261.
JAMA 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, 2011, pp. 251-6.
Vancouver Arı Y, Ünal G. CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY. IJEFS. 2011;3(1):251-6.