Long-term dependence in exchange rates
The extent to which exchange rates of four major currencies against the Greek Drachma exhibit long-term dependence is investigated using a R/S analysis testing framework. We show that both classic R/S analysis and the modified R/S statistic if enhanced by bootstrapping techniques can be proven very...
| Κύριοι συγγραφείς: | , , |
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| Μορφή: | Άρθρο |
| Γλώσσα: | English |
| Έκδοση: |
Hindawi Limited
2000-01-01
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| Σειρά: | Discrete Dynamics in Nature and Society |
| Θέματα: | |
| Διαθέσιμο Online: | http://dx.doi.org/10.1155/S1026022600000017 |