基于Volterra-Wiener-Korenberg模型的亚洲6种汇率非线性特征研究

Nonlinear Study of Six Main Asian Exchange Rates Based on Volterra-Wiener-Korenberg Model

基于Volterra-Wiener-Korenberg(VWK)模型非线性检验方法对亚洲6种汇率时间序列进行了非线性动力学特征研究,并结合替代数据分析检验了该方法在汇率时间序列领域统计结果的有效性.结果表明通过比较原始数据和基于原始数据所产生的替代数据之间的差异度,零假设在95%置信度范围内被拒绝,基于VWK模型非线性检验方法能够有效地检验出6种汇率的非线性特征,且这6种汇率呈现出内在的确定性非线性结构.

Empirical evidence on the presence of nonlinearity of six main Asian exchange rates based on Volterra-Wiener-Korenberg （VWK） model is presented. The surrogate data method is used to detect the nonlinearity of the exchange rates mentioned above in order to study the efficiency of VWK model. Comparing the difference between the original data and surrogate data which generated from the original,the null hypothesis is rejected in 95%. The result shows that the exchange rates mentioned above are deterministic nonlinear time series.