Long-memory exchange rate dynamics in the Euro era
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Publication:508201
DOI10.1016/J.CHAOS.2016.02.007zbMATH Open1415.91227OpenAlexW2308328843MaRDI QIDQ508201FDOQ508201
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
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
Cites Work
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Statistical analysis of cointegration vectors
- Gaussian semiparametric estimation of long range dependence
- Long memory processes and fractional integration in econometrics
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- 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
- Cointegration tests on MARS
- Comparisons of tests for multivariate cointegration
Cited In (9)
- Testing for boundary conditions in case of fractionally integrated processes
- Strong dependence in the nominal exchange rates of the Polish zloty
- 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?
- Identification and validation of stable ARFIMA processes with application to UMTS data
- Valuation of bid and ask prices for European options under mixed fractional Brownian motion
- The relevance of the monetary model for the euro / USD exchange rate determination: a long run perspective
- EMU and the stability and volatility of foreign exchange: some empirical evidence
- Introducing false EUR and false EUR exchange rates
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