Testing unit roots and long range dependence of foreign exchange

DOI10.1111/J.1467-9892.2011.00720.XMaRDI QIDQ2851988zbMATH OpenOpenAlexFDO

Authors Zhiping Lu, Dominique Guegan

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 simulationtestforeign exchange ratelong memory processesnon-stationary

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A generalized fractionally differencing approach in long-memory modeling
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Efficient Tests of Nonstationary Hypotheses
• Efficient Wald Tests for Fractional Unit Roots
• Evaluation of robinson's (1994) Tests in finite samples
• Fractional differencing
• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Heteroskedasticity-robust testing for a fractional unit root
• LONG MEMORY TESTING IN THE TIME DOMAIN
• ON GENERALIZED FRACTIONAL PROCESSES
• ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION
• Semiparametric estimation for seasonal long-memory time series using generalized exponential models
• Semiparametric inference in seasonal and cyclical long memory processes
• Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series

Cited in

(7)

• Empirical evidence of the spot and the forward exchange rates in Canada.
• Strong dependence in the nominal exchange rates of the Polish zloty
• Testing for long memory in the Asian foreign exchange rates
• Testing the long-run structural validity of the monetary exchange rate model
• Testing unit roots of financial time series: an application to major stock markets in Asia-Pacific area
• Long memory estimation in a non-Gaussian bivariate process
• Long-memory exchange rate dynamics in the Euro era

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