Portal de Periódicos da CAPES

An Analysis of International Exchange Rates Using Multivariate DLM's

1987; Wiley; Volume: 36; Issue: 2/3 Linguagem: Inglês

10.2307/2348524

2517-6153

José Mario Quintana, Mike West,

Fuzzy Logic and Control Systems

New models for multiple time series are introduced and illustrated in an application to international currency exchange rate data. The models, based on matrix-variate normal extensions of the dynamic linear model (DLM), provide a tractable, sequential procedure for estimation of unknown covariance structure between series. A principal components analysis is carried out providing a basis for easy model assessment. A practically important elaboration of the model incorporates time- variation in covariance matrices.