Recurrence Plots of Exchange Rates of Currencies

Amelia Carolina Sparavigna

International Journal of Sciences, 2014, vol. 3, issue 07, 87-95

Abstract: Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies too. In this paper, we will show that these plots are able to characterize the periods of oscillation and random walk of currencies and enhance their reply to news and events, by means of texture transitions. The examples of recurrence plots given here are obtained from time series of exchange rates of Euro.

Keywords: Recurrence Plots; Texture Transitions; Currencies; Euro; US Dollar; GB Pound; Japanese Yen; Exchange Rates; Autoregressive Models; Econometrics (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.18483/ijSci.545

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