Testing unit roots and long range dependence of foreign exchange

Dominique Guegan () and Zhiping Lu ()
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Dominique Guegan: Centre d'Economie de la Sorbonne - Paris School of Economics, https://cv.archives-ouvertes.fr/dominique-guegan
Zhiping Lu: School of Finance and Statistics - East China Normal University

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: Foreign exchange rate; long memory processes; Monte Carlo simulation; non-stationary; test (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2010-06
New Economics Papers: this item is included in nep-ecm and nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://mse.univ-paris1.fr/pub/mse/CES2010/10059.pdf (application/pdf)

Related works:
Journal Article: Testing unit roots and long range dependence of foreign exchange (2011)
Working Paper: Testing unit roots and long range dependence of foreign exchange (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:10059

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