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Detecting Some Dynamic Properties of the Euro/Dollar Exchange Rate

  • Magdalena Osińska

    ()

  • Aleksandra Matuszewska

    ()

Financial prices and returns have been the subject of empirical and theoretical analysis for many years, and their dynamic properties and other characteristics are still of interest. Many different tools have been applied to describe financial markets. The presented paper is addressed to examine the euro/dollar exchange rate and the related financial returns in the context of detecting exact and stochastic unit roots, and in the consequence, modelling them using time varying parameters model. The estimated STUR models are compared with standard ARMA-GARCH representations. We also examine causal relationships in the Granger sense. Upon the results of causality testing, some ADL-GARCH models are built, which are further used to examine their forecasting performance. Copyright IAES 2006

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File URL: http://hdl.handle.net/10.1007/s11294-006-9021-7
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Article provided by International Atlantic Economic Society in its journal International Advances in Economic Research.

Volume (Year): 12 (2006)
Issue (Month): 3 (August)
Pages: 327-341

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Handle: RePEc:kap:iaecre:v:12:y:2006:i:3:p:327-341
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  1. Russell Davidson & James G. Mackinnon, 1982. "Some Non-Nested Hypothesis Tests and the Relations Among Them," Review of Economic Studies, Oxford University Press, vol. 49(4), pages 551-565.
  2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  3. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
  4. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  6. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
  7. Granger, E.J. & Swanson, N.R., 1996. "An introduction to stochastic Unit Root Processes," Papers 4-96-3, Pennsylvania State - Department of Economics.
  8. Leybourne, S J & McCabe, B P M & Tremayne, A R, 1996. "Can Economic Time Series Be Differenced to Stationarity?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 435-46, October.
  9. Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, vol. 21(2), pages 161-194, February.
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