Gogas, Periklis; Papadimitriou, Theophilos; Sarantitis, … - In: Applied Financial Economics 23 (2013) 17, pp. 1399-1406
We test the validity of the Purchasing Power Parity theory, examining the Real Exchange Rate of 23 OECD countries for mean-reversion. In doing so, we estimate the Hurst exponent, which is a well-established estimator of long memory in time series analysis. The innovation of our approach is that...