A reexamination of fractional integrating dynamics in foreign currency markets

International Review of Economics and Finance

Volumn 15, Issue 1, 2006, Pages 120-135

  Jin, Hyun J ^a,b   Elder, John ^a   Koo, Won W ^a  

^a NORTH DAKOTA STATE UNIVERSITY   (United States)

^b Chung Ang University   (South Korea)

Author keywords

Exchange rates; Fractional integration; Long memory; Wavelets; Weak form market efficiency

Indexed keywords

EID: 33244463085     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2004.08.005     Document Type: Article

References (20)

1. R.T. Baillie T. Bollerslev Common stochastic trends in a system of exchange rates Journal of Finance 44 1989 167-181
2. R.T. Baillie T. Bollerslev Cointegration, fractional cointegration, and exchange rate dynamics Journal of Finance 49-2 1994 737-745
3. J. Barkoulas C. Baum M. Caglayan A. Chakraborty Persistent dependence in foreign exchange rates? A reexamination Forthcoming in global financial markets: Issues and policies 2003 Greenwood Press Westport, CT
4. G.G. Booth F.R. Kaen P.E. Koveos R/S analysis of foreign exchange markets under two international monetary regimes Journal of Monetary Economics 10 1982 407-415
5. F.J. Breidt N. Crato P. De Lima The detection and estimation of long memory in stochastic volatility Journal of Econometrics 83-2 1998 325-348
6. P.J. Brockwell R.A. Davis Time series: Theory and methods 2nd ed. 1991 Springer New York
7. Y. Cheung Long memory in foreign-exchange rates Journal of Business and Economic Statistics 11 1993 93-101
8. I. Daubechies Orthonormal bases of compactly supported wavelets Communications on Pure and Applied Mathematics 41 1988 909-996
9. D.A. Dickey W. Fuller Likelihood ratio tests for autoregressive time series with a unit root Econometrica 49 1981 1057-1072
10. J. Geweke S. Porter-Hudak The estimation and application of long memory time series models Journal of Time Series Analysis 4-4 1983 221-238
11. C.W. Granger R. Joyeaux An introduction to long-memory time series models and fractional differencing Journal of Time Series Analysis 1-1 1980 15-29
12. J.R. Hosking Fractional differencing Biometrika 68 1981 165-176
13. M.J. Jensen Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter Journal of Forecasting 18 1999 17-32
14. D. Kwiatkowski P. Phillips P. Schmidt Y. Shin Testing the null of stationarity against the alternative of a unit root Journal of Econometrics 54 1992 159-178
15. M. Pan Y.A. Liu H. Bastin An examination of the short-term and long-term behavior of foreign exchange rates The Financial Review 31-3 1996 603-622
16. D.H. Papell The great appreciation, the great depreciation, and the purchasing power parity hypothesis Journal of International Economics 57 2002 51-82
17. P. Robinson Efficient tests of nonstationary hypotheses Journal of the American Statistical Association 89 1994 1420-1437
18. P. Robinson Gaussian semiparametric estimation of long range dependence Annals of Statistics 13 1995 1630-1661
19. F. Sowell Maximum likelihood estimation of stationary univariate fractionally integrated time series Journal of Econometrics 53 1992 165-188
20. G. Tkacz Estimating the fractional order of integration of interest rates using a wavelet OLS Estimator Studies in Nonlinear Dynamics and Econometrics 5-1 2001 19-32