SPECTRAL ANALYSIS OF EXCHANGE RATES
Journal Title: International Journal of Organizational Leadership - Year 2013, Vol 2, Issue 1
Abstract
Using spectral analysis is very common in technical areas but rather unusual in economics and finance, where ARIMA and GARCH modeling are much more in use. To show that spectral analysis can be useful in determining hidden periodic components for high-frequency finance data as well, we use the example of foreign exchange rates.
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