Testing unit roots and long range dependence of foreign exchange

Zhiping Lu; Dominique Guegan

doi:10.1111/j.1467-9892.2011.00720.x

Testing unit roots and long range dependence of foreign exchange

Zhiping Lu^*
, Dominique Guegan

^*Corresponding author for this work

School of Statistics

Université Paris 1 Panthéon-Sorbonne

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

Foreign exchange rate plays an important role in international finance. This article 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.

Original language	English
Pages (from-to)	631-638
Number of pages	8
Journal	Journal of Time Series Analysis
Volume	32
Issue number	6
DOIs	https://doi.org/10.1111/j.1467-9892.2011.00720.x
State	Published - Nov 2011

Keywords

Foreign exchange rate
Long memory processes
Monte Carlo simulation
Non-stationary
Test

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10.1111/j.1467-9892.2011.00720.x

Cite this

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title = "Testing unit roots and long range dependence of foreign exchange",

abstract = "Foreign exchange rate plays an important role in international finance. This article 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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AB - Foreign exchange rate plays an important role in international finance. This article 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.

KW - Foreign exchange rate

KW - Long memory processes

KW - Monte Carlo simulation

KW - Non-stationary

KW - Test

UR - https://www.scopus.com/pages/publications/80053930977

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Testing unit roots and long range dependence of foreign exchange

Abstract

Keywords

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