Long-term dependence in exchange rates

A. Karytinos, A. S. Andreou and G. Pavlides

Discrete Dynamics in Nature and Society, 2000, vol. 4, 1-20

Abstract:

The extent to which exchange rates of four major currencies against the Greek Drachma exhibit long-term dependence is investigated using a R / S analysis testing framework. We show that both classic R / S analysis and the modified R / S statistic if enhanced by bootstrapping techniques can be proven very reliable tools to this end. Our findings support persistence and long-term dependence with non-periodic cycles for the Deutsche Mark and the French Franc series. In addition a noisy chaos explanation is favored over fractional Brownian motion. On the contrary, the US Dollar and British Pound were found to exhibit a much more random behavior and lack of any long-term structure.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:637682

DOI: 10.1155/S1026022600000017

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