Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7415092 | Contaduría y Administración | 2017 | 22 Pages |
Abstract
In this research we analyze the performance of the exchange rates of USA Dollar, Canadian Dollar, Euro and Yen; we estimate the basic statistics, α-stable parameters, we performed tests of goodness fit Kolmogorov-Smirnov, Anderson-Darling and Lilliefors; we estimate self-similarity exponents and we performed t y F tests, ruling that the series of the exchange rates are multi-fractal; we estimate confidence intervals of the exchange rates and we conclude that the estimated α-stable distributions are more efficient than the gaussian distribution to quantify market risks and the series are self-similar; by the âµ index we infer the risk of events and we indicate that exchange rates are anti-persistent, have mean reversión, short-term memory, negative correlation and high risk in the short and medium term; the estimation and validation of α-stable distributions and the exponent of self-similarity are important for pricing and the creation of innovative investment instruments by financial engineering, risk management and derivatives pricing.
Keywords
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Accounting
Authors
José Antonio Climent Hernández, Luis Fernando Hoyos Reyes, Domingo RodrÃguez Benavides,