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Modeling Currency Rates and Indices in Emerging Asia’s Markets

Ferry Jaya Permana

Department of Mathematics Universitas Katolik Parahyangan,Bandung, INDONESIAndonesia

摘要:In this paper we show that the geometric Brownian motion is not suited enough for modeling log returns of currency rate and index in emerging Asia’s markets. Empirical study using real datasets from several emerging Asia’s markets shows that a class of Levy process, a so-called variance gamma process, performs better than the geometric Brownian. The geometric Brownian motion is not able to describe some characteristic features of data such as higher skewness and excess kurtosis. On the other hand the variance gamma process is the most successful in capturing those characteristic features.
会议名称:

2011 World Congress on Engineering and Technology(CET 2011)

会议时间:

2011-10-28

会议地点:

中国上海

  • 专辑:

    基础科学; 经济与管理科学

  • 专题:

    数学; 宏观经济管理与可持续发展; 金融

  • 分类号:

    F823;F224

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