DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Sehyun | ko |
dc.contributor.author | Kim, Soo Yong | ko |
dc.contributor.author | Jung, Jae-Won | ko |
dc.contributor.author | Kim, Kyungsik | ko |
dc.date.accessioned | 2013-03-12T21:46:50Z | - |
dc.date.available | 2013-03-12T21:46:50Z | - |
dc.date.created | 2013-01-08 | - |
dc.date.created | 2013-01-08 | - |
dc.date.issued | 2012-05 | - |
dc.identifier.citation | JOURNAL OF THE KOREAN PHYSICAL SOCIETY, v.60, no.9, pp.1473 - 1476 | - |
dc.identifier.issn | 0374-4884 | - |
dc.identifier.uri | http://hdl.handle.net/10203/103614 | - |
dc.description.abstract | In this study, we investigate the multifractal properties of three foreign exchange rates (USD-KRW, USD-JPY, and EUR-USD) that are quoted with different economic scales. We estimate and analyze both the generalized Hurst exponent and the autocorrelation function in three foreign exchange rates. The USD-KRW is shown to have the strongest of the Hurst exponents when compared with the other two foreign exchange rates. In particular, the autocorrelation function of the USD-KRW has the largest memory behavior among three foreign exchange rates. It also exhibits a long-memory property in the first quarter, more than those in the other quarters. | - |
dc.language | English | - |
dc.publisher | KOREAN PHYSICAL SOC | - |
dc.subject | MULTIFRACTAL ANALYSIS | - |
dc.subject | STOCK-MARKET | - |
dc.subject | HONG-KONG | - |
dc.subject | INDEX | - |
dc.title | Dynamical Analyses of the Time Series for Three Foreign Exchange Rates | - |
dc.type | Article | - |
dc.identifier.wosid | 000314808700009 | - |
dc.identifier.scopusid | 2-s2.0-84863626590 | - |
dc.type.rims | ART | - |
dc.citation.volume | 60 | - |
dc.citation.issue | 9 | - |
dc.citation.beginningpage | 1473 | - |
dc.citation.endingpage | 1476 | - |
dc.citation.publicationname | JOURNAL OF THE KOREAN PHYSICAL SOCIETY | - |
dc.identifier.doi | 10.3938/jkps.60.1473 | - |
dc.contributor.localauthor | Kim, Soo Yong | - |
dc.contributor.nonIdAuthor | Jung, Jae-Won | - |
dc.contributor.nonIdAuthor | Kim, Kyungsik | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Multifractal detrended fluctuation analysis | - |
dc.subject.keywordAuthor | Levy distribution | - |
dc.subject.keywordAuthor | High-frequency data | - |
dc.subject.keywordPlus | MULTIFRACTAL ANALYSIS | - |
dc.subject.keywordPlus | STOCK-MARKET | - |
dc.subject.keywordPlus | HONG-KONG | - |
dc.subject.keywordPlus | INDEX | - |
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