Segmentation analysis on a multivariate time series of the foreign exchange rates
AbstractThis study considers the multivariate segmentation procedure under the assumption of the multivariate Gaussian mixture. Jensen-Shannon divergence between two multivariate Gaussian distributions is employed as a discriminator and a recursive segmentation procedure is proposed. The daily log-return time series for 30 currency pairs consisting of 12 currencies for the last decade (January 3, 2001 to December 30, 2011) are analyzed using the proposed method. The proposed method can detect several important periods related to the significant affairs of the international economy.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1205.0336.
Date of creation: May 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-08 (All new papers)
- NEP-ECM-2012-05-08 (Econometrics)
- NEP-OPM-2012-05-08 (Open Economy Macroeconomics)
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