Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach
Statistical Finance
2016-08-30 v1
Abstract
There are many studies dealing with the analysis of similarity among currencies in foreign exchange market by using network analysis approach. In those studies, each currency is represented by a univariate time series of exchange rate return. This is the standard practice to analyze the underlying information in the foreign exchange market. In this paper, Escoufier's RV coefficient is applied to measure the similarity among currencies where each of them is represented by bivariate time series. Based on that coefficient, we analyze the topological structure of the currencies. An example of FOREX analysis will be presented and discussed to illustrate the advantages of RV coefficient.
Keywords
Cite
@article{arxiv.1608.07694,
title = {Foreign Exchange Market Performance: Evidence from Bivariate Time Series Approach},
author = {Mansooreh Kazemilari and Maman Abdurachman Djauhari and Zuhaimy Ismail},
journal= {arXiv preprint arXiv:1608.07694},
year = {2016}
}
Comments
13 pages, 1 figure and 2 tables