A reexamination of fractional integrating dynamics in foreign currency markets
AbstractThis paper reexamines foreign currency markets for evidence of fractional integration, and extends the extant literature in several important dimensions. First, we utilize a new semiparametric wavelet-based estimator, which is far superior to the more prevalent GPH estimator on the basis of mean squared error. Second, we utilize a broader and longer sample, which better facilitates the detection of long memory dynamics. Our analysis yields interesting empirical results that contrast with other recent studies. In particular, we find new evidence that a large proportion (fourteen out of nineteen) of exchange rate series display evidence of long memory, with little variation over alternative sample periods.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Economics & Finance.
Volume (Year): 15 (2006)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/inca/620165
Other versions of this item:
- Elder, John & Jin, Hyun Joung & Koo, Won W., 2004. "A Reexamination Of Fractional Integrating Dynamics In Foreign Currency Markets," 2004 Annual meeting, August 1-4, Denver, CO 20004, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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