Formal testing procedures confirm the presence of a unit root in the autoregressive polynomial of the univariate time series representation of daily exchange-rate data. The first differences of the logarithms of daily spot rates are approximately uncorrelated through time, and a generalized...

Four foreign exchange spot rate series, recorded on an hourly basis for a six-month period in 1986, are examined. A seasonal GARCH model is developed to describe the time-dependent volatility apparent in the percentage nominal return of each currency. Hourly patterns in volatility are found to...

Univariate tests reveal strong evidence for the presence of a unit root in the univariate time series representation for seven daily spot and forward exchange rate series. Furthermore, all seven spot and forward rates appear to be cointegrated, that is, the forward premiums are stationary and...

Formal testing procedures confirm the presence of a unit root in the autoregressive polynomial of the univariate time series representation of daily exhange-rate data. The first differences of the logarithms of daily spot rates are approximately uncorrelated through time, and a generalized...

Multivariate tests due to Soren Johansen, as implemented by Richard T. Baillie and Tim Bollerslev (1989) and Francis X. Diebold, Javier Gardeazabal, and Kamil Yilmaz (1994), reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the...