Testing unit roots and long range dependence of foreign exchange

DOI10.1111/j.1467-9892.2011.00720.xzbMath1273.62194OpenAlexW1921771961MaRDI QIDQ2851988

Zhiping Lu, Dominique Guégan

Publication date: 4 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00505117/file/10059.pdf

zbMATH Keywords

Monte Carlo simulationlong memory processestestforeign exchange ratenon-stationary

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: hypothesis testing (62M02)

Cites Work

• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Semiparametric estimation for seasonal long-memory time series using generalized exponential models
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• A generalized fractionally differencing approach in long-memory modeling
• Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
• Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
• LONG MEMORY TESTING IN THE TIME DOMAIN
• HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ON GENERALIZED FRACTIONAL PROCESSES
• ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION
• Efficient Tests of Nonstationary Hypotheses
• Evaluation of robinson's (1994) Tests in finite samples
• Efficient Wald Tests for Fractional Unit Roots

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