RodríguezAguilar, Román and CruzAké, Salvador and VenegasMartínez, Francisco (2014): A Measure of Early Warning of ExchangeRate Crises Based on the Hurst Coefficient and the ΑlphaStable Parameter.

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Abstract
The Hurst coefficient and the alphastable parameter are useful indicators in the analysis of time series to detect normality and absence of selfsimilarity. In particular, when these two features met simultaneously, it is said that the series is driven by white noise. This paper is aimed at developing an index to measure the degree to which a time series departs from white noise. The proposed index is built by using the principal component analysis of the Mahalanobis distances between the Hurst coefficient and the alphastable parameter from theoretical values of normality and absence of selfsimilarity. A zero value of the index corresponds to a pure white noise process, while a 100 value correspond to the maximum distance between the actual series and the theoretical white noise. The proposed index is applied to examine the exchange rate of the Mexican peso against the USA dollar. When examining the exchange rate, one distinctive finding of the Index is that it can be used as an early warning indicator of crises, as it is shown for the Mexican case.
Item Type:  MPRA Paper 

Original Title:  A Measure of Early Warning of ExchangeRate Crises Based on the Hurst Coefficient and the ΑlphaStable Parameter 
Language:  English 
Keywords:  Fractional Brownian motion, Hurst coefficient, selfsimilarity, alphastable distributions, heavy tails, early warning indicator. 
Subjects:  G  Financial Economics > G0  General G  Financial Economics > G0  General > G01  Financial Crises G  Financial Economics > G1  General Financial Markets G  Financial Economics > G1  General Financial Markets > G15  International Financial Markets 
Item ID:  59046 
Depositing User:  Dr. Francisco VenegasMartínez 
Date Deposited:  03 Oct 2014 08:59 
Last Modified:  07 Oct 2019 17:09 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/59046 