Stability of Markovian structure observed in high frequency foreign exchange data

zbMath1049.62114MaRDI QIDQ1881409

Mieko Tanaka-Yamawaki

Publication date: 5 October 2004

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

predictionforeign exchange ratesconditional probabilityfinancehigh frequency datamemory lengthtick dataMarkovian structure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

This page was built for publication: Stability of Markovian structure observed in high frequency foreign exchange data