LARDIC, Sandrine; MIGNON, Valérie - In: Annales d'Economie et de Statistique (1999) 54, pp. 47-68
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...