Are Pound and Euro the Same Currency? - Updated
AbstractBased on long range dependence, some analysts claim that the exchange rate time series of the pound sterling and of an artificially extended euro have been locked together for years despite daily changes [1, 9]. They conclude that pound and euro are in practice the same currency. We assess the long range dependence over time through Hurst exponents of pound-dollar and extended euro-dollar exchange rates employing three alternative techniques, namely rescaled range analysis, detrended fluctuation analysis, and detrended moving average. We find the result above (which is based on detrended fluctuation analysis) not to be robust to the changing techniques and parameterizing.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 1981.
Date of creation: 2007
Date of revision:
False euro; exchange rates; financial efficiency; Hurst exponent; R/S analysis; detrended fluctuation analysis; detrending moving average;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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