Meixner süreci ile reel efektif döviz kuru’nun modellenmesi

Levy süreçleri finans alanında artan bir öneme sahiptir. Bunun temel nedenlerinden bir tanesi, bu süreçlerin menkul kıymet fiyatlarına iyi uyum sağlamasıdır. Meixner süreci dört parametre ile karakterize edilen, özel bir Levy sürecidir. Meixner süreçlerinin göreceli olarak kapalı formda ifade edilebilen basit bir marjinal olasılık yoğunluk fonksiyonuna sahip olması uygulamada bu süreçleri öne çıkartmaktadır. Bu çalışmada, reel efektif döviz kurundaki değişimler, Meixner süreci kullanılarak modellenmiştir. Yapılan deneysel çalışmada, Meixner dağılımının gerçek verileri iyi bir şekilde temsil ettiği yapılan simülasyon çalışmaları ile tespit edilmiştir.

Modeling of real effective exchange rate with meixner processes

Lévy processes have increasing importance in finance area. One of the essential reasons for this increasing interest is that. These processes good fit to asset prices. Meixner process has got four paremeter and it is sub class for general Lévy processes.The marginal probability density function of Meixner process is relatively simple and it can be represented in closed form.These properties makes popular Meixner process in applications. In this study we modelled the changes of real effective Exchange rate with Meixner processes.In the empirical study,we find that Meixner model good fit real data.Finally we investigate validate of the model using the simulations.

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