Long-term dependence in exchange rates
UNSPECIFIED. (2000) Long-term dependence in exchange rates. Nature, 4 (1). pp. 1-20. ISSN 1026-0226Full text not available from this repository.
The extent to which exchange rates of four major currencies against the creek Drachma exhibit long-term dependence is investigated using a R/S analysis testing framework. We show that both classic R/S analysis and the modified R/S statistic if enhanced by bootstrapping techniques can be proven very reliable tools to this end. Our findings support persistence and long-term dependence with non-periodic cycles for the Deutsche Mark and the French Franc series. In addition a noisy chaos explanation is favored over fractional Brownian motion, On the contrary, the US dollar and British Pound were found to exhibit a much more random behavior and lack of any long-term structure.
|Item Type:||Journal Article|
|Subjects:||Q Science > QA Mathematics
|Journal or Publication Title:||Nature|
|Publisher:||GORDON BREACH SCI PUBL LTD|
|Number of Pages:||20|
|Page Range:||pp. 1-20|
Actions (login required)