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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.
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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 | ||||
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Subjects: | Q Science > QA Mathematics Q Science |
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Journal or Publication Title: | Nature | ||||
Publisher: | GORDON BREACH SCI PUBL LTD | ||||
ISSN: | 1026-0226 | ||||
Official Date: | 2000 | ||||
Dates: |
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Volume: | 4 | ||||
Number: | 1 | ||||
Number of Pages: | 20 | ||||
Page Range: | pp. 1-20 | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
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