Kim, Hyeongwoo; Ryu, Deockhyun - Department of Economics, Auburn University - 2013
This paper estimates the degree of persistence of 16 long-horizon real exchange rates relative to the US dollar. We use nonparametric operational algorithms by El-Gamal and Ryu (2006) for general nonlinear models based on two statistical notions: the short memory in mean (SMM) and the short...