Long-memory and shifts in the unconditional variance in the exchange rate euro/US dollar returns

Autor: Ibrahim Ahamada, Jamel Jouini, Alain Nurbel, Leïla Nouira
Přispěvatelé: Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), École des hautes études en sciences sociales (EHESS)-Aix Marseille Université (AMU)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS), Equipe Universitaire de Recherche en Economie Quantitative (EUREQUA), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), Faculté de droit et d'économie, Université de La Réunion (UR), École Centrale de Marseille (ECM)-École des hautes études en sciences sociales (EHESS)-Centre National de la Recherche Scientifique (CNRS)-Aix Marseille Université (AMU)
Rok vydání: 2004
Předmět:
Zdroj: Applied Economics Letters
Applied Economics Letters, 2004, 11 (9), pp.591-594. ⟨10.1080/1350485042000230733⟩
Applied Economics Letters, Taylor & Francis (Routledge): SSH Titles, 2004, 11 (9), pp.591-594
ISSN: 1466-4291
1350-4851
DOI: 10.1080/1350485042000230733
Popis: http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=13929098&site=ehost-live; International audience; In this paper two characteristics a priori contradictory and yet coexistent in the daily returns of exchange rate euro/US dollar are drawn. The non-stationarity of the covariance structure of the series is shown and, after the extraction of the unstable variance using the algorithm based on the cumulative sums of squares of Inclan and Tiao ( Journal of the American Statistical Association , 1994 , 89 (427), 913-23), the existence of long-memory in the filtered series. Does the non-stationarity of the unconditional variance explain the phenomenon of long-memory? Thus a classic debate is found of which the exit does not again elucidate.
Databáze: OpenAIRE
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