On comparison of jump point detection for an exchange rate series

作     者：IP Wai-Cheung, WONG Heung, XIE Zhongjie & LUAN YihuiDepartment of Applied Mathematics, Hong Kong Polytechnic University, Hong Kong, China Department of Probability and Statistics, Peking University, Beijing 100871, China 

作者机构：Department of Applied Mathematics Hong Kong Polytechnic University Hong Kong China Department of Probability and Statistics Peking University Beijing China 

出 版 物：《Science China Mathematics》 (中国科学：数学（英文版）)

年 卷 期：2004年第47卷第1期

页      面：52-64页

核心收录：

学科分类：07[理学] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：This work was supported by reseach grants from the Hong Kong Polytechnic University and the National Natural Science Foundation of China(Grant No.10171005) 

主　　题：exchange rate, jump points, threshold, wavelets. 

摘      要：The main purpose of this paper is to investigate the detection of jump points of a discontinuous function in the presence of a noise by the wavelet approach. A computing algorithm of our method is proposed and then applied to the daily exchange rate of US Dollar against Deutsche Mark. All the points detected by our method reflect very strong economic and political impacts. Other statistical methods to detect jump points have also been applied to the same exchange rate data. Our proposed method has produced more convincing empirical results than others.