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:	HAL
Subject:	Long memory processes \| test \| Monte Carlo Simulations \| unit roots \| exchange rate

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00505117
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010603665