«Длинная память» в обменных курсах

Конюховский Павел Владимирович and Подкорытова Ольга Анатольевна
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Конюховский Павел Владимирович: СПбГУ
Подкорытова Ольга Анатольевна: СПбГУ

Vestnik of the St. Petersburg University. Series 5. Economics Вестник Санкт-Петербургского университета. Серия 5. Экономика, 2007, issue 3, 102-109

Abstract: This study provides empirical evidence of the long-run dependence in the returns and volatility of rouble exchange courses. The measures of long-term persistence employed are the modified rescaled range statistics (R/S) proposed by Lo (1991) and the KPSS test. Significant long-run memory is conclusively demonstrated in the volatility measures, while there is a little evidence for the presence of long-run memory in the returns themselves.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:scn:003571:14678139

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