Exchange rates and fractional integration revisited

Jin, et al. (2006) relied on a semi-parametric wavelet estimator of the degree of fractional integration and its associated t-statistic to conclude that many exchange rates appear to be fractionally integrated. This note demonstrates that several recent tests for fractional integration provide a much different view of the temporal properties of many exchange rates.

MoreLess

Year of publication:	2008
Authors:	Sephton, P.
Published in:	Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 4.2008, 6, p. 383-387
Publisher:	Taylor and Francis Journals

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004988376