Assessing inefficiency in euro bilateral exchange rates

Physica A: Statistical Mechanics and its Applications

Volumn 367, Issue , 2006, Pages 319-327

  Tabak, Benjamin M ^a   Cajueiro, Daniel O ^b  

^a BANCO CENTRAL DO BRASIL   (Brazil)

^b UNIVERSIDADE CATÓLICA DE BRASÍLIA   (Brazil)

Author keywords

Euro bilateral exchange rates; Hurst exponents; Long range dependence; Tsallis q entropic index

Indexed keywords

ECONOMIC AND SOCIAL EFFECTS; ENTROPY;

EURO BILATERAL EXCHANGE RATES; HURST EXPONENTS; TSALLIS Q ENTROPIC INDEX;

TIME SERIES ANALYSIS;

EID: 33646472250     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.12.007     Document Type: Article

References (23)

1. Kearns J., and Rigobon R. Indentifying the efficacy of central bank interventions: evidence from Australia and Japan. J. Int. Econ. 66 (2005) 31-48
2. Robinson P. Gaussian semiparametric estimation of long-range dependence. Ann. Stat. 23 (1995) 1630-1661
3. Cheung Y. Long memory in foreign-exchange rates. J. Bus. Econ. Stat. 11 (1993) 93-101
4. H.J. Jin, J. Elder, W.W. Koo, A reexamination of fractional integrating dynamics in foreign currency markets, Int. Rev. Econ. Finance, forthcoming.
5. Han Y.W. Long memory volatility dependency temporal aggregation and the Korean currency crisis: the role of a high frequency Korean won (KRW)-US dollar ($) exchange rate. Jpn. World Econ. 17 (2005) 97-109
6. Grech D., and Mazur Z. Can one make any crash prediction in finance using the local Hurst exponent idea?. Physica A 336 (2004) 133-145
7. Bollerslev T., and Wright J.H. Semiparametric estimation of long memory volatility dependencies: the role of high frequency data. J. Econometrics 98 (2000) 81-106
8. Baillie R.T., Cecen A.A., Erkal C., and Han Y.-W. Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates. J. Int. Financial Markets, Inst. Money 14 (2004) 401-418
9. Belaire-Franch J., and Opong K.K. Some evidence of random walk behavior of euro exchange rates using rank and signs. J. Banking Finance 29 (2005) 1631-1643
10. Chow K.V., and Denning K.C. A simple multiple variance ratio test. J. Econometrics 58 (1993) 385-401
11. D.O. Cajueiro, B.M. Tabak, Is the expression H = 1 / ( 3 - q ) valid for real financial data? Working Paper of Chatolic University of Brasilia, 2005.
12. Montanary A., Taqqu M.S., and Teverovsky V. Estimating long-range dependence in the presence of periodicity: an empirical study. Math. Comput. Modelling 29 (1999) 217-228
13. Hurst E. Long term storage capacity of reservoirs. Trans. Am. Soc. Civil Eng. 116 (1951) 770-799
14. E.P. Borges, Manifestações dinâmicas e termodinâmicas de sistemas não-extensivos, Tese de Doutorado, Centro Brasileiro de Pesquisas Físicas, 2004.
15. Tsallis C., and Bukman D.J. Anomalous diffusion in the presence of external forces: exact time-dependent solutions and their thermostatistical basis. Phys. Rev. E 54 (1996) 2197-2200
16. Borland L. Microscopic dynamics of the nonlinear Fokker-Planck equation: a phenomenological model. Phys. Rev. E 57 (1998) 6634-6642
17. Feder J. Fractals (1988), Plenum Press, New York
18. Cajueiro D.O., and Tabak B.M. Ranking efficiency for emerging markets II. Chaos Solitons Fractals 23 (2005) 671-675
19. Cajueiro D.O., and Tabak B.M. The Hurst's exponent over time: testing the assertion that emerging markets are becoming more efficient. Physica A 336 (2004) 521-537
20. Cajueiro D.O., and Tabak B.M. Ranking efficiency for emerging markets. Chaos Solitons Fractals 22 (2004) 349-352
21. Cajueiro D.O., and Tabak B.M. Testing for time-varying long-range dependence volatility for emerging markets. Physica A 346 (2004) 577-588
22. BIS, BIS Triennial Survey, Basel, 2004.
23. Pan M.-P., and Liu Y.A. Fractional cointegration, long memory, and exchange rate dynamics. Int. Rev. Econ. Finance 8 (1999) 305-316