A measure of persistence in daily pound exchange rates

Christopher Brooks

Applied Economics Letters, 1995, vol. 2, issue 11, 428-431

Abstract: An alternative procedure to that of Lo is proposed for assessing whether there is significant evidence of persistence in time series. The technique estimates the Hurst exponent itself, and significance testing is based on an application of bootstrapping using surrogate data. The method is applied to a set of 10 daily pound exchange rates. A general lack of long-term memory is found to characterize all the series tested, in sympathy with the findings of a number of other recent papers which have used Lo's techniques.

Date: 1995
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DOI: 10.1080/135048595356998

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