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R/S analysis of foreign exchange rates under two international monetary regimes

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Cited by:

  1. Turvey, Calum G., 2001. "Random Walks And Fractal Structures In Agricultural Commodity Futures Prices," Working Papers 34151, University of Guelph, Department of Food, Agricultural and Resource Economics.
  2. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  3. Howe, John S. & Martin, Deryl W. & WoodJr., Bob G., 1999. "Much ado about nothing: Long-term memory in Pacific Rim equity markets," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 139-151, June.
  4. Andreou, Andreas S. & Zombanakis, George A. & Georgopoulos, E. F. & Likothanassis, S. D., 1998. "Forecasting Exchange-Rates via Local Approximation Methods and Neural Networks," MPRA Paper 74534, University Library of Munich, Germany, revised 01 Dec 1998.
  5. Turvey, Calum G. & Power, Gabriel J., 2006. "The Confidence Limits of a Geometric Brownian Motion," 2006 Annual meeting, July 23-26, Long Beach, CA 21239, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  6. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," Discussion Papers of DIW Berlin 1647, DIW Berlin, German Institute for Economic Research.
  7. van de Gucht, Linda M. & Dekimpe, Marnik G. & Kwok, Chuck C. Y., 1996. "Persistence in foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 15(2), pages 191-220, April.
  8. Christelle Lecourt, 2000. "Dépendance de court et de long terme des rendements de taux de change," Économie et Prévision, Programme National Persée, vol. 146(5), pages 127-137.
  9. Asif, Raheel & Frömmel, Michael, 2022. "Testing Long memory in exchange rates and its implications for the adaptive market hypothesis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
  10. Thomas Lux, 1996. "Long-term stochastic dependence in financial prices: evidence from the German stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 3(11), pages 701-706.
  11. Sándor Kovács & Prasert Chaitip & Chukiat Chaiboonsri & Péter Balogh, 2012. "The Long Memory Property of Hungarian Market Pig Prices: A Comparison of Three Different Methods," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 12(3), pages 123-138.
  12. Erdinc Akyildirim & Shaen Corbet & Guzhan Gulay & Duc Khuong Nguyen & Ahmet Sensoy, 2019. "Order Flow Persistence in Equity Spot and Futures Markets: Evidence from a Dynamic Emerging Market," Working Papers 2019-011, Department of Research, Ipag Business School.
  13. Guglielmo Maria Caporale & Luis Gil‐Alana, 2020. "Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence," South African Journal of Economics, Economic Society of South Africa, vol. 88(2), pages 174-185, June.
  14. Souza, Leonardo Rocha, 2003. "The aliasing effect, the Fejer Kernel and temporally aggregated long memory processes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 470, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  15. Kyaw, NyoNyo A. & Los, Cornelis A. & Zong, Sijing, 2006. "Persistence characteristics of Latin American financial markets," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 269-290, July.
  16. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
  17. Christian de Peretti, 2003. "Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 187-212, October.
  18. Taro Ikeda, 2017. "A fractal analysis of world stock markets," Economics Bulletin, AccessEcon, vol. 37(3), pages 1514-1532.
  19. Benjamin J. C. Kim & David Karemera, 2006. "Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 369-380.
  20. Paul, R.K., 2014. "Forecasting Wholesale Price of Pigeon Pea Using Long Memory Time-Series Models," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 27(2).
  21. Gil-Alana, Luis A. & Carcel, Hector, 2020. "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  22. Gerlich, Nikolas & Rostek, Stefan, 2015. "Estimating serial correlation and self-similarity in financial time series—A diversification approach with applications to high frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 84-98.
  23. Guglielmo Maria Caporale & Luis Gil-Alana, 2012. "Long Memory and Volatility Dynamics in the US Dollar Exchange Rate," Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 105-136, March - J.
  24. Mynhardt, H. R. & Plastun, Alex & Makarenko, Inna, 2014. "Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009," MPRA Paper 58942, University Library of Munich, Germany.
  25. Long Hai Vo & Duc Hong Vo, 2020. "Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data," Risks, MDPI, vol. 8(3), pages 1-16, August.
  26. Batten, Jonathan & Ellis, Craig, 1996. "Fractal structures and naive trading systems: Evidence from the spot US dollar/Japanese yen," Japan and the World Economy, Elsevier, vol. 8(4), pages 411-421, December.
  27. Batten, Jonathan & Ellis, Craig & Fetherston, Thomas A., 2000. "Are long-term return anomalies illusions?: Evidence from the spot Yen," Japan and the World Economy, Elsevier, vol. 12(4), pages 337-349, December.
  28. Hauser, Michael A. & Reschenhofer, Erhard, 1995. "Estimation of the fractionally differencing parameter with the R/S method," Computational Statistics & Data Analysis, Elsevier, vol. 20(5), pages 569-579, November.
  29. Robert Mulligan, 2000. "A fractal analysis of foreign exchange markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 6(1), pages 33-49, February.
  30. Duan, Yunpeng & Xue, Yi, 2014. "Bipower variation with jumps and correlated returns," Economics Letters, Elsevier, vol. 125(3), pages 367-371.
  31. Pan, Ming-Shiun & Liu, Y. Angela & Chan, Kam C., 1996. "An examination of long-term dependence in black market exchange rates in eight Pacific-Basin countries," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 175-185.
  32. Turvey, Calum G., 2007. "A note on scaled variance ratio estimation of the Hurst exponent with application to agricultural commodity prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 155-165.
  33. Taro Ikeda, 2016. "Relume: A fractal analysis for the US stock market," Discussion Papers 1637, Graduate School of Economics, Kobe University.
  34. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "The Long Memory of Order Flow in the Foreign Exchange Spot Market," Papers 1504.04354, arXiv.org, revised Oct 2015.
  35. Taro Ikeda, 2016. "A fractal analysis of US industrial sector stocks," Discussion Papers 1643, Graduate School of Economics, Kobe University.
  36. Hiemstra, Craig & Jones, Jonathan D., 1997. "Another look at long memory in common stock returns," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 373-401, December.
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