Dynamical volatilities for yen-dollar exchange rates

Physica A: Statistical Mechanics and its Applications

Volumn 359, Issue 1-4, 2006, Pages 569-575

  Yoon, Seong Min ^a   Choi, J S ^a   Christopher Lee, C ^b   Yum, Myung Kul ^c   Kim, Kyungsik ^a  

^a Pukyong National University   (South Korea)

^b CENTRAL WASHINGTON UNIVERSITY   (United States)

^c Hanyang University   (South Korea)

Author keywords

Continuous time random walk; Returns; Scaling exponent; Volatility

Indexed keywords

DATA REDUCTION; MARKETING; NUMERICAL METHODS;

CONTINUOUS TIME RANDOM WALK; NUMERICAL CALCULATIONS; RETURNS; SCALING EXPONENT;

INDUSTRIAL ECONOMICS;

EID: 27344432333     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.05.089     Document Type: Article

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