一种人民币汇率自相关函数的建模方法
method of modeling the autocorrelation functions of RMB exchange rates
汇率因受货币政策、国际收支等因素的影响而显示出较强的复杂性，自相关函数会反应出汇率的重要信息。本文以人民币兑美元、港元、日元这三种汇率为代表，选取1998年至2014年部分数据作为研究对象，对数据的自相关函数进行了分析。本文的亮点在于，将得到的自相关曲线与柯西类过程方程进行了拟合，并分别得到了三种汇率的Hurst指数，从而显示出了汇率数据非常强的长相关特性。
Exchange rate is complex due to many factors such as monetary policies and balance of international payments. Autocorrelation function (ACF) can help to research exchange rate. In this paper, RMB exchange rate against USD, HKD, JPY from the year 1998 to 2014 were selected as research object. The highlight of this paper is that: the autocorrelation functions of these three exchange rates were calculated and the ACF curves were fitted by Cauchy-class (CC) process. Based on the results of curve fitting, three Hurst parameters were obtained, which revealed very strong long-range persistence of exchange rates.
李园春、李明
财政、金融
信号与信息处理自相关函数柯西类过程汇率长相关
Signal and information processingAutocorrelation functionCauchy-class processExchange rateLong-range dependence
李园春,李明.一种人民币汇率自相关函数的建模方法[EB/OL].(2015-06-18)[2025-08-16].http://www.paper.edu.cn/releasepaper/content/201506-241.点此复制
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