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
Additional contact information
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
Alain Nurbel: Faculté de droit et d'économie - UR - Université de La Réunion
Post-Print 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
References: Add references at CitEc
Citations: View citations in EconPapers (7)
Published in Applied Economics Letters, 2004, 11 (9), pp.591 - 594. ⟨10.1080/1350485042000230733⟩
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00272871
DOI: 10.1080/1350485042000230733
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().