Ohnishi, Takaaki; Takayasu, Hideki; Ito, Takatoshi; … - In: International Review of Financial Analysis 23 (2012) C, pp. 30-34
We empirically investigate the nonstationarity property of the USD–JPY exchange rate by using a high frequency data set spanning 8years. We perform a statistical test of strict stationarity based on the two-sample Kolmogorov–Smirnov test for the absolute price changes, and Pearson's chi...