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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Leïla Nouira & Ibrahim Ahamada & Jamel Jouini & Alain Nurbel, 2004. "Long memory and shifts in the unconditional variance in the exchange rate euro/us dollar returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00272871, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00272871
    DOI: 10.1080/1350485042000230733
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    Cited by:

    1. Jean-Christophe Statnik & David Verstraete, 2015. "Price dynamics in agricultural commodity markets: a comparison of European and US markets," Empirical Economics, Springer, vol. 48(3), pages 1103-1117, May.
    2. Mohamed Boutahar & Jamel Jouini, 2007. "A Methodology For Detecting Breaks In The Mean And Covariance Structure Of Time Series," Working Papers halshs-00354249, HAL.
    3. Sylvain Prado, 2011. "Free lunch in the oil market: a note on Long Memory," EconomiX Working Papers 2011-23, University of Paris Nanterre, EconomiX.
    4. Korkmaz, Turhan & Cevik, Emrah Ismail & Özataç, Nesrin, 2009. "Testing for long memory in ISE using Arfima-Figarch model and structural break test," MPRA Paper 71302, University Library of Munich, Germany.
    5. Malinda & Maya & Jo-Hui & Chen, 2022. "Testing for the Long Memory and Multiple Structural Breaks in Consumer ETFs," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(6), pages 1-6.
    6. Papież, Monika & Śmiech, Sławomir, 2013. "Causality-in-mean and causality-in-variance within the international steam coal market," Energy Economics, Elsevier, vol. 36(C), pages 594-604.
    7. repec:cte:wsrepe:ws131718 is not listed on IDEAS

    More about this item

    Keywords

    long memory; nonstationariry;

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