ESTIMATING DAILY SEASONALITY IN FOREIGN-EXCHANGE RATE CHANGES

被引：4

作者：

COPELAND, LS ^{[1
]}

WANG, PJ ^{[1
]}

机构：

[1] SALFORD UNIV,BUSINESS SERV LTD,SALFORD M6 6AJ,ENGLAND

来源：

JOURNAL OF FORECASTING | 1994年 / 13卷 / 06期

关键词：

FILTER; FFT (FAST FOURIER TRANSFORM); GARCH; TIME DOMAIN; FREQUENCY DOMAINS;

D O I：

10.1002/for.3980130604

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Combining time- and frequency-domain analysis demonstrates considerable improvement in modelling seasonal patterns in daily exchange rate changes. A high-pass filter in the frequency domain is used, followed by the usual time-domain analysis with GARCH models, to estimate day-of-the-week effects in the spot returns on five exchanges against US dollars and the results are seen to compare favourably with those from a pure time-domain GARCH approach.

引用

页码：519 / 528

页数：10

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