Testing unit roots and long range dependence of foreign exchange
Overview & Synopsis
Foreign exchange rate plays an important role in international finance. This paper examines unit roots and the long range dependence of 23 foreign exchange rates using Robinson's (1994) test, which is one of the most efficient tests when testing fractional orders of seasonal/cyclical long memory processes. Monte Carlo simulations are carried out to explore the accuracy of the test before implementing the empirical applications.
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hal.science)
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Document Information
| Document Title | Testing unit roots and long range dependence of foreign exchange |
|---|---|
| Author / Organization | Dominique Guegan, Zhiping Lu |
| Subject & Discipline | Multidisciplinary Academic Open Research |
| Categories | Science & Mathematics |
| Publication Year | 2010 |
| License / Rights | Open Access / Creative Commons |
| Resource Verification | Listed PDF (Verification Pending) |
| Original Host Website |
HAL Open Science
(hal.science)
|
| File Format | application/pdf (Portable Document Format) |
| Language | EN |
| Catalog ID | DOC-181935 |
| Original Source Link | Visit Source Page on hal.science » |