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

DOI10.1007/BF02425191zbMath1154.91608MaRDI QIDQ1000360

Ramaprasad Bhar

Publication date: 6 February 2009

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

zbMATH Keywords

diffusion; heteroscedasticity; martingale; fractal; memory; rescaled range

Mathematics Subject Classification ID

91B84: Economic time series analysis

91B74: Economic models of real-world systems (e.g., electricity markets, etc.)