Exchange rates and fractional integration revisited

Peter Sephton ()

Applied Financial Economics Letters, 2008, vol. 4, issue 6, 383-387

Abstract: Jin, et al. (2006) relied on a semi-parametric wavelet estimator of the degree of fractional integration and its associated t-statistic to conclude that many exchange rates appear to be fractionally integrated. This note demonstrates that several recent tests for fractional integration provide a much different view of the temporal properties of many exchange rates.

Date: 2008
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DOI: 10.1080/17446540801998593

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