Prévision ARFIMA des taux de change : les modélisateurs doivent-ils encore exhorter à la naïveté des prévisions ?

The purpose of this paper is to perform predictions of foreign exchange rates series by taking into account their long-term memory property. To this end, this paper proposes the use of ARFIMA processes in order to make predictions of three exchange rate series: $/Canadian $, $/French Franc and $/Italian Lira. Obtained results suggest that ARFIMA predictions generally outperform naïve predictions issued from random walk process.

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Year of publication:	1999
Authors:	LARDIC, Sandrine ; MIGNON, Valérie
Published in:	Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1999, 54, p. 47-68
Publisher:	École Nationale de la Statistique et de l'Admnistration Économique (ENSAE)

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005066135