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«Длинная Память» В Обменных Курсах

Author

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  • Конюховский Павел Владимирович

    (СПбГУ)

  • Подкорытова Ольга Анатольевна

    (СПбГУ)

Abstract

This study provides empirical evidence of the long-run dependence in the returns and volatility of rouble exchange courses. The measures of long-term persistence employed are the modified rescaled range statistics (R/S) proposed by Lo (1991) and the KPSS test. Significant long-run memory is conclusively demonstrated in the volatility measures, while there is a little evidence for the presence of long-run memory in the returns themselves.

Suggested Citation

  • Конюховский Павел Владимирович & Подкорытова Ольга Анатольевна, 2007. "«Длинная Память» В Обменных Курсах," Vestnik of the St. Petersburg University. Series 5. Economics Вестник Санкт-Петербургского университета. Серия 5. Экономика, CyberLeninka;Федеральное государственное бюджетное образовательное учреждение высшего образования «Санкт-Петербургский государственный университет», issue 3, pages 102-109.
    • Handle: RePEc:scn:003571:14678139
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