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	On comparison of jump point detection for an exchange rate series
	Ip, WC ; Wong, H ; Xie, ZJ ; Luan, YH
	2004
关键词	exchange rate jump points threshold wavelets
英文摘要	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.; Mathematics, Applied; Mathematics; SCI(E); 3; ARTICLE; 1; 52-64; 47
语种	英语
出处	SCI
出版者	science in china series a mathematics
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/255542]
专题	数学科学学院
推荐引用方式 GB/T 7714	Ip, WC,Wong, H,Xie, ZJ,et al. On comparison of jump point detection for an exchange rate series. 2004-01-01.

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