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Independent component analysis and its application in the exchange rate

Author: LiuZuoDai
Tutor: FangZhaoBen
School: University of Science and Technology of China
Course: Financial Engineering
Keywords: Independent component analysis Multidimensional volatility Dynamic Correlation Yuan to a basket of currencies Forward exchange rates of different maturities
CLC: F832.6
Type: Master's thesis
Year: 2009
Downloads: 96
Quote: 4
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Abstract


Currency issue has always been an important issue in financial markets, in the spot market, after the revaluation in China abandon pegged to the dollar, the reference "a basket of currencies exchange rate mechanism, which makes decisions associated with multiple currencies of RMB exchange rate, exchange rate fluctuation is also affected by multiple currencies; In the forward market, because our country's own currency forwards market is not perfect, the offshore forward market will greatly influence on the RMB exchange rate, the volatility of the market conduction may affect the stability of the value of the yuan. For exchange rate volatility from the Angle of the two research questions, using independent component analysis method, we solve the multidimensional parameters when the quantity is too large to bring volatility problem of "dimension disaster" problem, use the ICA - GARCH method to study the related by basket of currencies exchange rate fluctuations of RMB exchange rate fluctuations, analyzes the "a basket of currencies," the operation of exchange rate mechanism; While using this method analyzes the offshore forward market of foreign exchange in different period of the forward exchange rate fluctuations, on the basis of the volatility that may exist on different period after structural characteristics are discussed. Combining these two aspects discusses the pricing of RMB exchange rate issue.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Exchange rate,foreign financial relations
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