Testing unit roots and long range dependence of foreign exchange.

Foreign exchange rate plays an important role in international finance. This paper examines unit roots and the long range dependence of 23 foreign exchange rates using Robinson's (1994) test, which is one of the most efficient tests when testing fractional orders of seasonal/cyclical long memory processes. Monte Carlo simulations are carried out to explore the accuracy of the test before implementing the empirical applications.

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Year of publication:	2010-06
Authors:	Guegan, Dominique ; Lu, Zhiping
Institutions:	Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
Subject:	Foreign exchange rate \| long memory processes \| Monte Carlo simulation \| non-stationary \| test

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Extent:	application/pdf
Series:	Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X.
Type of publication:	Book / Working Paper
Language:	English
Notes:	21 pages
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008461113