Long-term dependence in exchange rates

@inproceedings{Karytinos2000LongtermDI,
  title={Long-term dependence in exchange rates},
  author={A. Karytinos and Andreas S. Andreou and G. Pavlides},
  year={2000}
}
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… CONTINUE READING

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