Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/34978
Title: On comparison of jump point detection for an exchange rate series
Authors: Ip, WC
Wong, H 
Xie, Z
Luan, Y
Keywords: Exchange rate
Jump points
Threshold
Wavelets
Issue Date: 2004
Publisher: Springer
Source: Science in China series A : Mathematics, 2004, v. 47, no. 1, p. 52-64 How to cite?
Journal: Science in China series A : Mathematics
Abstract: The main purpose of this paper is to investigate the detection of jump points of a discontinuous function in the presence of a noise by the wavelet approach. A computing algorithm of our method is proposed and then applied to the daily exchange rate of US Dollar against Deutsche Mark. All the points detected by our method reflect very strong economic and political impacts. Other statistical methods to detect jump points have also been applied to the same exchange rate data. Our proposed method has produced more convincing empirical results than others.
URI: http://hdl.handle.net/10397/34978
ISSN: 1006-9283 (print)
1862-2763 (online)
DOI: 10.1360/02ys0124
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