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Spectral Analysis of Exchange Rates

Aleša Lotrič Dolinar

出版	SSRN, 2019
URL	http://books.google.com.hk/books?id=xvkBzwEACAAJ&hl=&source=gbs_api

註釋

Using spectral analysis is very common in technical areas but rather unusual in economics and finance, where ARIMA and GARCH modeling are much more in use. To show that spectral analysis can be useful in determining hidden periodic components for high-frequency finance data as well, we use the example of foreign exchange rates.