Souza, Sergio Rubens Stancato de; Tabak, Benjamin Miranda; … - Central Bank of Brazil, Research Department - 2006
This paper presents measures of long-range dependence in daily exchange rates of the Brazilian Real against the US Dollar, taken from 1995 to 2004 employing the classical R/S analysis with a rolling sample. It analyses the switch from a crawling peg exchange regime to a floating exchange regime,...
