Abstract:
In this paper we fix a microeconomic model of exchange rates and we give the explicit relation between model's parameters and its long memory properties. This avoids long...Show MoreMetadata
Abstract:
In this paper we fix a microeconomic model of exchange rates and we give the explicit relation between model's parameters and its long memory properties. This avoids long numerical calibration procedures and allows to build the model with the parameters suitable for the required long memory degree.
Published in: 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003. Proceedings.
Date of Conference: 20-23 March 2003
Date Added to IEEE Xplore: 29 April 2003
Print ISBN:0-7803-7654-4
Contents 