Long-term dependence in exchange rates
| Autor: | A. Karytinos, A. S. Andreou, G. Pavlides |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2000 |
| Předmět: | |
| Zdroj: | Discrete Dynamics in Nature and Society, Vol 4, Iss 1, Pp 1-20 (2000) |
| Druh dokumentu: | article |
| ISSN: | 1026-0226 1607-887X 10260226 |
| DOI: | 10.1155/S1026022600000017 |
| Popis: | The extent to which exchange rates of four major currencies against the Greek 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. |
| Databáze: | Directory of Open Access Journals |
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