Long-memory exchange rate dynamics in the Euro era

DOI10.1016/j.chaos.2016.02.007zbMath1415.91227OpenAlexW2308328843MaRDI QIDQ508201

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

cointegrationlong memoryexchange rates

Mathematics Subject Classification ID

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

Related Items (3)

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 for boundary conditions in case of fractionally integrated processes

Cites Work

• 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?
• Statistical analysis of cointegration vectors
• Cointegration tests on MARS
• 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
• Comparisons of tests for multivariate cointegration
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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