期刊名称：International Journal of Economics and Finance Studies
电子版ISSN：1309-8055
出版年度：2011
卷号：3
期号：1
出版社：Social Sciences Research Society
摘要：This study aims to construct continuous-time autoregressive (CAR) model and continuous-time GARCH (COGARCH) model from discrete time data of foreign exchange rate of United States Dollar (USD) versus Turkish Lira (TRY). These processes are solutions to stochastic differential equation Lévy-driven processes. We have shown that CAR(1) and COGARCH(1,1) processes are proper models to represent foreign exchange rate of USD and TRY for different periods of time February 2002- June 2010.
