Recurrence plots of exchange rates of currencies

Preprint, Article OPEN
Amelia Carolina Sparavigna (2014)
  • Publisher: England: Alkhaer Publications
  • Related identifiers: doi: 10.18483/ijSci.545
  • Subject: Recurrence plots; Recurrence plot properties; Texture transitions; Currencies; Euro; GB Pound; Japanese Yen; US Dollar; Exchange rates; Autoregressive models | Quantitative Finance - Statistical Finance

Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies too. In this paper, we will show ... View more
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