A REEXAMINATION OF FRACTIONAL INTEGRATING DYNAMICS IN FOREIGN CURRENCY MARKETS
John Elder (),
Hyun Jin () and
Won W. Koo
No 20004, 2004 Annual meeting, August 1-4, Denver, CO from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)
This paper reexamines foreign currency markets for evidence of fractional integration, and extends the extant literature in several important dimensions. First, we utilize a new semiparametric wavelet-based estimator, which is far superior to the more prevalent GPH estimator on the basis of mean squared error. Second, we utilize a broader and longer sample, which better facilitates the detection of long memory dynamics. Our analysis yields interesting empirical results that contrast with other recent studies. In particular, we find new evidence that a large proportion (fourteen out of nineteen) of exchange rate series display evidence of long memory, with little variation over alternative sample periods.
Keywords: Financial; Economics (search for similar items in EconPapers)
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Journal Article: A reexamination of fractional integrating dynamics in foreign currency markets (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea04:20004
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