Testing unit roots and long range dependence of foreign exchange

DOI10.1111/j.1467-9892.2011.00720.xzbMath1273.62194MaRDI 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 simulation; long memory processes; test; foreign exchange rate; non-stationary

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

62M02: Markov processes: hypothesis testing

Cites Work

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• 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