Testing unit roots and long range dependence of foreign exchange

Dominique Guegan () and Zhiping Lu ()
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Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Zhiping Lu: ECNU - ECNU - East China Normal University [Shangaï]

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Abstract: Foreign exchange rate plays an important role in international finance. This paper examines unit roots and the long range dependence of 23 foreign exchange rates using Robinson's (1994) test, which is one of the most efficient tests when testing fractional orders of seasonal/cyclical long memory processes. Monte Carlo simulations are carried out to explore the accuracy of the test before implementing the empirical applications.

Keywords: Long memory processes; Monte Carlo Simulations; exchange rate; Processus longue mémoire; test; simulation de Monte Carlo; unit roots; taux de change (search for similar items in EconPapers)
Date: 2010-06
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00505117v1
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Published in 2010

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00505117

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