Assessing inefficiency in euro bilateral exchange rates

Benjamin Tabak and Daniel Cajueiro

Physica A: Statistical Mechanics and its Applications, 2006, vol. 367, issue C, 319-327

Abstract: This paper assesses inefficiency for 10 euro bilateral exchange rates. We study the dynamics of these time series by estimating Tsallis q entropic index and Hurst exponents using the local Whittle estimator. Empirical results suggest that US, Canadian and Singapore dollar are amongst the most efficient currencies, while Japanese yen and Swedish krona are amongst the most inefficient.

Keywords: Euro bilateral exchange rates; Hurst exponents; Tsallis q entropic index; Long-range dependence (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:367:y:2006:i:c:p:319-327

DOI: 10.1016/j.physa.2005.12.007

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