Short-memory and the PPP hypothesis
DOI10.1016/J.JEDC.2005.01.001zbMATH Open1198.91175OpenAlexW2094322355MaRDI QIDQ956508FDOQ956508
Authors: Mahmoud A. El-Gamal, Deockhyun Ryu 
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2005.01.001
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Cited In (8)
- Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity
- Purchasing Power Parity Analyzed from a Continuous-Time Model
- Real exchange rate forecasting and PPP: this time the random walk loses
- Half-lives of currencies and aggregation bias
- A saddlepoint approximation to the distribution of the half-life estimator in a stationary autoregressive model
- Generalized local-to-unity models
- LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL EXCHANGE RATES
- Nonlinear PPP deviations: a Monte Carlo investigation of their unconditional half-life
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