Long Memory in Foreign-Exchange Rates.
Using the Geweke-Porter-Hudak test, the author finds evidence of long memory in exchange-rate data. This implies t hat the empirical evidence of unit roots in exchange rates may not be robust to long-memory alternatives. Fractionally integrated autoregressive moving average models are estimated by both the time-domain exact maximum likelihood method and the frequency-domain approximate maximum likelihood method. Impulse-response functions and forecasts based.on these estimated fractionally integrated autoregressive moving average models are evaluated to gain insight into the long-memory characteristics of exchange rates. Some tentative explanations of the long memory found in the exchange rate s are discussed.
Year of publication: |
1993
|
---|---|
Authors: | Cheung, Yin-Wong |
Published in: |
Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 11.1993, 1, p. 93-101
|
Publisher: |
American Statistical Association |
Saved in:
Saved in favorites
Similar items by person
-
Empirical Exchange Rate Models of the Nineties : Are Any Fit to Survive?
Cheung, Yin-Wong, (2004)
-
Cheung, Yin-Wong, (1993)
-
Cheung, Yin-Wong, (1990)
- More ...