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Long-term dependence in exchange rates
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UNSPECIFIED (2000) Long-term dependence in exchange rates. Nature, 4 (1). pp. 1-20. ISSN 1026-0226
Full text not available from this repository.Abstract
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 Q Science |
| Journal or Publication Title: | Nature |
| Publisher: | GORDON BREACH SCI PUBL LTD |
| ISSN: | 1026-0226 |
| Date: | 2000 |
| Volume: | 4 |
| Number: | 1 |
| Number of Pages: | 20 |
| Page Range: | pp. 1-20 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/13463 |
Data sourced from Thomson Reuters' Web of Knowledge
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