Testing for long-term memory in yen/dollar exchange rate

DOI10.1007/BF02425191MaRDI QIDQ1000360zbMATH OpenFDO

Authors Ramaprasad Bhar

Publication date 6 February 2009

Published in Financial Engineering and the Japanese Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02425191

zbMATH Keywords

diffusionfractalheteroscedasticitymartingalememoryrescaled range

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Economic time series analysis (91B84)

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Cites work

• Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying¹
• Limit theorems on the self-normalized range for weakly and strongly dependent processes

Cited in

(6)

• Estimating unknown join points: Determination of the yen-dollar exchange rate
• Long memory and forecasting in euro/yen deposit rates
• Long memory and crude oil's price predictability
• Long-memory exchange rate dynamics in the Euro era
• On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise
• Testing for long memory in the Asian foreign exchange rates

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