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《Modern Electronics Technique》 2007-01
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Study on Long Memory in Exchange Rate Volatility Series Based on Wavelet

SHI Jianping~1,ZHANG Chuanling~(1,2),SONG Guoxiang~1(1.College of Science,Xidian University,Xi′an,710071,China;2.Shaanxi Branch,Industrial and Commercial Bank of China,Xi′an,710004,China)  
A long memory analysis method based on wavelet variance for time series was proposed.The exchange rate volatility series was analyzed with this method,and the precise value of long memory parameter was obtained.And the incidence scale function was introduced,it has been carried on the confirmation to long memory effect of various exchange rate volatility series.The results show that various exchange rate volatility series has long memory property,and the greater the value of long memory parameters,the stronger effects of the historical information will the exchange rate volatility series suffer.
【CateGory Index】: F830.7;F224
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