| ARMA模型在美元兑日元汇率的应用 |
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| 引用本文： | 杨绍创,袁康安.ARMA模型在美元兑日元汇率的应用[J].科学技术与工程,2009,9(23). |
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| 作者姓名： | 杨绍创 袁康安 |
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| 作者单位： | 华南理工大学理学院,广州,510640 |
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| 摘 要： | ARMA模型是一种最常见的时间序列模型,它广泛的应用到各种金融行业.以美元兑日元的汇价为例,讨论ARMA模型在汇率变化的应用及汇价短期预测,希望为企业和投资者在进行相关决策时提供有益的参考.
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| 关 键 词： | 汇率 ARMA模型 |
| 收稿时间： | 9/1/2009 5:27:39 PM |
| 修稿时间： | 9/1/2009 5:27:39 PM |
ARMA model in the application of USD/JPY exchange rate |
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| Yang Shaochuang and Yuan Kangan.ARMA model in the application of USD/JPY exchange rate[J].Science Technology and Engineering,2009,9(23). |
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| Authors: | Yang Shaochuang and Yuan Kangan |
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| Institution: | South China University of Technology |
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| Abstract: | ARMA model is one of the most important time-series, and is widely applied to various financial sector. In this paper, we study ARMA model in the application of USD/JPY exchange rate, and we gain short-term forecasts of USD/JPY exchange rate price by applying ARMA model for the empirical prices. Hope this paper can provide some help and reference for enterprises and investors in the relevant decision-makings. |
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| Keywords: | EVIEWS |
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