Continuous Modeling of Foreign Exchange Rate of USD versus TRY

This study aims to construct continuous-time autoregressive (CAR) model and continuous-time GARCH (COGARCH) model from discrete time data of foreign exchange rate of United States Dollar (USD) versus Turkish Lira (TRY). These processes are solutions to stochastic differential equation Lévy-driven processes. We have shown that CAR(1) and COGARCH(1,1) processes are proper models to represent foreign exchange rate of USD and TRY for different periods of time February 2002- June 2010

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Year of publication:	2010
Authors:	Ari, Yakup ; Unal, Gazanfer

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Ari, Yakup and Unal, Gazanfer (2010): Continuous Modeling of Foreign Exchange Rate of USD versus TRY. Published in: International Journal of Economics and Finance Studies , Vol. 3, No. 1 (2011): pp. 251-261.
Classification:	C51 - Model Construction and Estimation ; C01 - Econometrics
Source:	BASE

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