CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY

Cilt: 3 Sayı: 1 1 Haziran 2011
  • Yakup Arı
  • Gazanfer Ünal
International Journal of Economics and Finance Studies Kapak
International Journal of Economics and Finance Studies
PDF İndir
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

Kaynakça

  1. 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
  2. Brockwell P.J., Continuous-Time ARMA Processes, [in] Rao C.R. and
  3. Shanbhag D.N. (editors), Stochastic Processes: Theory and Methods,“Handbook of Statistics” 2000, 19, p.249-276.
  4. R. F. Engle, “Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation”, Econometrica, 50:987--1007, 1982
  5. C. Klüppelberg, A. Lindner, and R. Maller, “A continuous time GARCH
  6. process driven by a Levy process: stationarity and second order behavior”, J. Appl. Prob.,41(3):601--622, 2004
  7. E.P.G Box, M.G Jenkins., C.G Reinsel. Time Series Analysis- Forecasting and Control, Prentice-Hall,1994
  8. P.J. Brockwell and R.A. Davis. Itroduction to Time Series and Forecasting, Springer,2001, p.p. 22-60

Ayrıntılar

Birincil Dil

İngilizce

Konular

-

Bölüm

-

Yazarlar

Yakup Arı Bu kişi benim

Gazanfer Ünal Bu kişi benim

Yayımlanma Tarihi

1 Haziran 2011

Gönderilme Tarihi

1 Haziran 2011

Kabul Tarihi

-

Yayımlandığı Sayı

Yıl 2011 Cilt: 3 Sayı: 1

IZ

https://izlik.org/JA86LM52JH

Kaynak Göster

RIS / Bibtex
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, ve 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 (01 Haziran 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 ve G. Ünal, “CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY”, IJEFS, c. 3, sy 1, ss. 251–261, Haz. 2011, [çevrimiçi]. Erişim adresi: 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 (01 Haziran 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, ve Gazanfer Ünal. “CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY”. International Journal of Economics and Finance Studies, c. 3, sy 1, Haziran 2011, ss. 251-6, https://izlik.org/JA86LM52JH.
Vancouver
1.Yakup Arı, Gazanfer Ünal. CONTINUOUS MODELING OF FOREIGN EXCHANGE RATE OF USD VERSUS TRY. IJEFS [Internet]. 01 Haziran 2011;3(1):251-6. Erişim adresi: https://izlik.org/JA86LM52JH