Long-memory exchange rate dynamics in the Euro era

DOI10.1016/J.CHAOS.2016.02.007MaRDI QIDQ508201zbMATH OpenOpenAlexFDO

Authors Yong-Cai Geng, Sumit K. Garg

Publication date 10 February 2017

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2016.02.007

zbMATH Keywords

exchange ratescointegrationlong memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Cointegration tests on MARS
• Comparisons of tests for multivariate cointegration
• Gaussian semiparametric estimation of long range dependence
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Long memory processes and fractional integration in econometrics
• Statistical analysis of cointegration vectors
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

Cited in

(10)

• Long memory and forecasting in euro/yen deposit rates
• From the EMS to EMU: Has There Been Any Change in the Behaviour of Exchange Rate Correlation?
• EMU and the stability and volatility of foreign exchange: some empirical evidence
• Introducing false EUR and false EUR exchange rates
• Strong dependence in the nominal exchange rates of the Polish zloty
• The relevance of the monetary model for the euro / USD exchange rate determination: a long run perspective
• Valuation of bid and ask prices for European options under mixed fractional Brownian motion
• Identification and validation of stable ARFIMA processes with application to UMTS data
• Testing unit roots and long range dependence of foreign exchange
• Testing for boundary conditions in case of fractionally integrated processes

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