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Testing diffusion processes for non-stationarity
Hamrick, Jeff; Taqqu, Murad - In: Mathematical Methods of Operations Research 69 (2009) 3, pp. 509-551
Financial data are often assumed to be generated by diffusions. Using recent results of Fan et al. (J Am Stat Assoc … Hochberg (J R Stat Soc Ser B, 59:289–300, 1995), we develop a test for non-stationarity of a one-dimensional diffusion based on …-dimensional diffusions. We then apply our test to interest rate data and real exchange rate data. The application to real exchange rate data …
Persistent link: https://www.econbiz.de/10010950292
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TESTING FOR LONG-RUN PURCHASING POWER PARITY IN THE POST BRETTON WOODS ERA: EVIDENCE FROM OLD AND NEW TESTS
Hernández, Julián Ramajo; Carracedo, Montserrat Ferré - Instituto de Estudios Fiscales, Ministerio de Economía …
the stationarity properties of the real exchange rates which are required for PPP to hold, and it also analyses the …
Persistent link: https://www.econbiz.de/10005190367
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Stationarity of Asian real exchange rates : an empirical application of multiple testing to nonstationary panels with a structural break
Matsuki, Takashi; Sugimoto, Kimiko - In: Economic modelling 34 (2013), pp. 52-58
Persistent link: https://www.econbiz.de/10010360616
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Relationship between stock markets and foreign exchange rates in India : an empirical analysis
Aparna, A. - In: The empirical economics letters : a monthly … 17 (2018) 1, pp. 59-65
Persistent link: https://www.econbiz.de/10011910818
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Deviations of Exchange Rates from Purchasing Power Parity: A Story Featuring Two Monetary Unions
Bayoumi, Tamim; MacDonald, Ronald - C.E.P.R. Discussion Papers - 1998
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group are...
Persistent link: https://www.econbiz.de/10005666879
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Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of Econometrics 180 (2014) 2, pp. 251-264
We propose a nonparametric estimation and inference for conditional density based Granger causality measures that quantify linear and nonlinear Granger causalities. We first show how to write the causality measures in terms of copula densities. Thereafter, we suggest consistent estimators for...
Persistent link: https://www.econbiz.de/10010776917
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Purchasing Power Parity Influence on Real Exchange Rate Behavior in Romania
Ghiba, Nicolae - In: CES Working Papers 3 (2011) 4, pp. 524-536
-Fuller and Phillips-Perron stationarity tests in order to check real exchange deviations from PPP. Also, we investigate the … euro area. The main conclusions of this research highlight that PPP doesn’t holds; real exchange rate stationarity tests … doest not confirm the stationarity, thus between the aforementioned three variables it doesn’t exists any equilibrium …
Persistent link: https://www.econbiz.de/10012016973
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Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory
dal Bianco, Marcos José - In: Estudios de Economía 35 (2008) 1, pp. 33-64
This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900-2006. This is equivalent to testing if the Real Exchange Rate is a stationary variable or if its components (the nominal exchange rate and the relative prices) are...
Persistent link: https://www.econbiz.de/10010289485
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Trends in the CZK development and AR(I)MA forecasting
Melcher, Ota - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 23 (2015) 2, pp. 3-21
Persistent link: https://www.econbiz.de/10011305425