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International Journal of Economics and Finance Studies

Yıl 2011 , Cilt 3 , Sayı 1

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Makale özeti
Başlık :

Continuous modeling of foreign exchange rate of usd versus try

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Yazar kurumları :
Yeditepe University1
Görüntülenme :
120
DOI :
Özet Türkçe :

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.

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