Long memory and shifts in the unconditional variance in the exchange rate euro/us dollar returns

Leïla Nouira, Ibrahim Ahamada (), Jamel Jouini () and Alain Nurbel
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Leïla Nouira: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique
Ibrahim Ahamada: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, EUREQUA - Equipe Universitaire de Recherche en Economie Quantitative - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Jamel Jouini: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique
Alain Nurbel: Faculté de droit et d'économie - UR - Université de La Réunion

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: In this paper two characteristics a priori contradictory and yet coexistent in the daily returns of exchange rate euro/US dollar are drawn. The non-stationarity of the covariance structure of the series is shown and, after the extraction of the unstable variance using the algorithm based on the cumulative sums of squares of Inclan and Tiao ( Journal of the American Statistical Association , 1994 , 89 (427), 913-23), the existence of long-memory in the filtered series. Does the non-stationarity of the unconditional variance explain the phenomenon of long-memory? Thus a classic debate is found of which the exit does not again elucidate.

Keywords: long memory; nonstationariry (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (7)

Published in Applied Economics Letters, 2004, 11 (9), pp.591 - 594. ⟨10.1080/1350485042000230733⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00272871

DOI: 10.1080/1350485042000230733

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