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Citations for "Long Memory in Foreign-Exchange Rates"

by Cheung, Yin-Wong

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  1. Cuestas, Juan C. & Gil-Alana, Luís A., 2009. "Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes," Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
  2. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
  3. Yin-Wong Cheung & Sang-Kuck Chung, 2011. "A Long Memory Model with Normal Mixture GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 38(4), pages 517-539, November.
  4. Cheung, Yin-Wong & Lai, Kon S., 2000. "On cross-country differences in the persistence of real exchange rates," Journal of International Economics, Elsevier, vol. 50(2), pages 375-397, April.
  5. Vasilios Plakandaras & Theophilos Papadimitriou & Periklis Gogas, 2015. "Forecasting Daily and Monthly Exchange Rates with Machine Learning Techniques," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(7), pages 560-573, November.
  6. repec:kap:iaecre:v:6:y:2000:i:1:p:33-49 is not listed on IDEAS
  7. Yin-Wong Cheung, 2007. "An empirical model of daily highs and lows," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(1), pages 1-20.
  8. Andrews, Donald W.K. & Lieberman, Offer & Marmer, Vadim, 2006. "Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 673-702, August.
  9. Charfeddine, Lanouar & Guégan, Dominique, 2012. "Breaks or long memory behavior: An empirical investigation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5712-5726.
  10. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  11. Lien, Donald & Yang, Li, 2008. "Hedging with Chinese metal futures," Global Finance Journal, Elsevier, vol. 19(2), pages 123-138.
  12. Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
  13. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
  14. Hwang, Soosung, 2000. "The Effects Of Systematic Sampling And Temporal Aggregation On Discrete Time Long Memory Processes And Their Finite Sample Properties," Econometric Theory, Cambridge University Press, vol. 16(03), pages 347-372, June.
  15. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  16. repec:eee:revfin:v:34:y:2017:i:c:p:61-73 is not listed on IDEAS
  17. Cem Kadilar & Muammer Simsek & Cagdas Hakan Aladag, 2009. "Forecasting The Exchange Rate Series With Ann: The Case Of Turkey," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 9(1), pages 17-29, May.
  18. Cheung, Yin-Wong & Erlandsson, Ulf G., 2005. "Exchange Rates and Markov Switching Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 314-320, July.
  19. Ellis, Craig, 1999. "Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique," International Review of Financial Analysis, Elsevier, vol. 8(1), pages 53-65.
  20. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
  21. Gagnon, Marie-Hélène & Power, Gabriel J. & Toupin, Dominique, 2016. "International stock market cointegration under the risk-neutral measure," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 243-255.
  22. José Manuel Belbute & Alfredo Marvão Pereira, 2016. "Does final energy demand in Portugal exhibit long memory? A fractional integration analysis," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 15(2), pages 59-77, August.
  23. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
  24. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, March.
  25. Jesus Gonzalo & Tae-Hwy Lee, 2000. "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
  26. Cheung, Yin-Wong & Diebold, Francis X., 1994. "On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean," Journal of Econometrics, Elsevier, vol. 62(2), pages 301-316, June.
  27. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  28. Liu, Hsiang-Hsi, 2012. "Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model," Economic Modelling, Elsevier, vol. 29(6), pages 2724-2733.
  29. Jacobsen, Ben, 1996. "Long term dependence in stock returns," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 393-417, December.
  30. Mohanty, Samarendu & Peterson, E. Wesley F. & Smith, Darnell B., 1998. "Fractional Conintegration And The False Rejection Of The Law Of One Price In International Commodity Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 30(02), December.
  31. Diebold, Francis X & Husted, Steven & Rush, Mark, 1991. "Real Exchange Rates under the Gold Standard," Journal of Political Economy, University of Chicago Press, vol. 99(6), pages 1252-1271, December.
  32. Assaf, A., 2006. "Dependence and mean reversion in stock prices: The case of the MENA region," Research in International Business and Finance, Elsevier, vol. 20(3), pages 286-304, September.
  33. John T. Barkoulas & Christopher F. Baum, 1997. "Fractional Differencing Modeling And Forecasting Of Eurocurrency Deposit Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(3), pages 355-372, September.
  34. Jin, Hyun J. & Elder, John & Koo, Won W., 2006. "A reexamination of fractional integrating dynamics in foreign currency markets," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 120-135.
  35. 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.
  36. Beine, Michel & Laurent, Sebastien, 2003. "Central bank interventions and jumps in double long memory models of daily exchange rates," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 641-660, December.
  37. Cheung, Y. -W. & Chinn, M. D., 1998. "Integration, cointegration and the forecast consistency of structural exchange rate models," Journal of International Money and Finance, Elsevier, vol. 17(5), pages 813-830, October.
  38. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI), Brussels.
  39. Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, EconWPA.
  40. Luis Gil-Alana, 2003. "Stochastic behavior of nominal exchange rates," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 31(2), pages 159-173, June.
  41. Souza, Leonardo da Rocha de, 2003. "The aliasing effect, the Fejer Kernel and temporally aggregated long memory processes," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 470, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  42. 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.
  43. Michael J. Dueker & Patrick K. Asea, 1995. "Non-monotonic long memory dynamics in black-market premia," Working Papers 1995-003, Federal Reserve Bank of St. Louis.
  44. Choi, Kyongwook & Zivot, Eric, 2007. "Long memory and structural changes in the forward discount: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 342-363, April.
  45. Christopher F. Baum & John Barkoulas, 2006. "Long-memory forecasting of US monetary indices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(4), pages 291-302.
  46. Craig Ellis, 1999. "The Price of Risk," Working Paper Series 86, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  47. Laura Mayoral & Juan J. Dolado & Jesús Gonzalo, 2003. "Long-range dependence in Spanish political opinion poll series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 137-155.
  48. Dominique, C-René & Rivera-Solis, Luis Eduardo, 2011. "Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index," MPRA Paper 34860, University Library of Munich, Germany.
  49. de Truchis, Gilles & Keddad, Benjamin, 2013. "Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 394-412.
  50. Abul Masih & Rumi Masih, 1998. "A multivariate cointegrated modelling approach in testing temporal causality between energy consumption, real income and prices with an application to two Asian LDCs," Applied Economics, Taylor & Francis Journals, vol. 30(10), pages 1287-1298.
  51. 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.
  52. Valérie Mignon, 1998. "Méthodes d'estimation de l'exposant de Hurst. Application aux rentabilités boursières," Économie et Prévision, Programme National Persée, vol. 132(1), pages 193-214.
  53. Michael J. Dueker, 1993. "Hypothesis testing with near-unit roots: the case of long-run purchasing-power parity," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 37-48.
  54. Carlos P. Barros & Luis A. Gil-Alana & Zhongfei Chen, 2016. "Exchange rate persistence of the Chinese yuan against the US dollar in the NDF market," Empirical Economics, Springer, vol. 51(4), pages 1399-1414, December.
  55. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
  56. Liu, Hsiang-Hsi & Chen, Yi-Chun, 2013. "A study on the volatility spillovers, long memory effects and interactions between carbon and energy markets: The impacts of extreme weather," Economic Modelling, Elsevier, vol. 35(C), pages 840-855.
  57. van Dijk, Dick & Franses, Philip Hans & Paap, Richard, 2002. "A nonlinear long memory model, with an application to US unemployment," Journal of Econometrics, Elsevier, vol. 110(2), pages 135-165, October.
  58. Michael KUEHL, "undated". "Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset," EcoMod2008 23800071, EcoMod.
  59. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911, December.
  60. Ahmad Zubaidi Baharumshah & Liew Khim Sen & Lim Kian Ping, 2003. "Exchange Rates Forecasting Model: An Alternative Estimation Procedure," International Finance 0307005, EconWPA.
  61. Franses, Philip Hans & Ooms, Marius, 1997. "A periodic long-memory model for quarterly UK inflation," International Journal of Forecasting, Elsevier, vol. 13(1), pages 117-126, March.
  62. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2013. "Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 1-9.
  63. Barkoulas, John T. & Baum, Christopher F., 1998. "Fractional dynamics in Japanese financial time series," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 115-124, May.
  64. repec:got:cegedp:76 is not listed on IDEAS
  65. Chong, Terence T.L. & Lu, Chenxi & Chan, Wing Hong, 2012. "Long-range dependence in the international diamond market," Economics Letters, Elsevier, vol. 116(3), pages 401-403.
  66. Walther, Thomas & Klein, Tony & Thu, Hien Pham & Piontek, Krzysztof, 2017. "True or spurious long memory in European non-EMU currencies," Research in International Business and Finance, Elsevier, vol. 40(C), pages 217-230.
  67. Cheung, Yin-Wong & Chung, Sang-Kuck, 2009. "A Long Memory Model with Mixed Normal GARCH for US Inflation Data," Santa Cruz Department of Economics, Working Paper Series qt2202s99q, Department of Economics, UC Santa Cruz.
  68. Ellis, Craig, 2006. "The mis-specification of the expected rescaled adjusted range," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 469-476.
  69. Tabak, Benjamin M. & Cajueiro, Daniel O., 2006. "Assessing inefficiency in euro bilateral exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 319-327.
  70. Luis A. Gil-Alana, 2004. "Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 123-138, August.
  71. Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.
  72. Angela He & Alan Wan, 2009. "Predicting daily highs and lows of exchange rates: a cointegration analysis," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(11), pages 1191-1204.
  73. Lavancier, Frédéric & Philippe, Anne & Surgailis, Donatas, 2010. "A two-sample test for comparison of long memory parameters," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2118-2136, October.
  74. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates," Faculty Working Papers 02/11, School of Economics and Business Administration, University of Navarra.
  75. Luis A. Gil-Alana & Jiang Liang, 2011. "The PPP hypothesis in the US/China relationship. Fractional integration, time variation and data frequency," Faculty Working Papers 13/11, School of Economics and Business Administration, University of Navarra.
  76. 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.
  77. 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.
  78. 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.
  79. Batten, Jonathan A. & Ellis, Craig A., 2005. "Paramater estimation bias and volatility scaling in Black-Scholes option prices," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 165-176.
  80. Ahmad Zubaidi Baharumshah & Liew Khim Sen, 2003. "The Predictability of ASEAN-5 Exchange Rates," International Finance 0307004, EconWPA.
  81. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  82. Rey, Serge & Varachaud, Pascal, 2000. "Le comportement des taux de change réels européens de la fin Bretton Woods à l’adoption de l’euro
    [The behavior of European real exchange rates from the Bretton Woods system end to the adoption of
    ," MPRA Paper 49502, University Library of Munich, Germany.
  83. Beran, Jan & Feng, Yuanhua, 2002. "SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 393-419, August.
  84. Ellis, Craig & Wilson, Patrick, 2004. "Another look at the forecast performance of ARFIMA models," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 63-81.
  85. Ben Nasr, Adnen & Trabelsi, Abdelwahed, 2005. "Seasonal and Periodic Long Memory Models in the In�ation Rates," MPRA Paper 22690, University Library of Munich, Germany, revised 03 Feb 2006.
  86. Jensen Mark J., 1999. "An Approximate Wavelet MLE of Short- and Long-Memory Parameters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(4), pages 1-17, January.
  87. Ana Pérez & Esther Ruiz, 2002. "Modelos de memoria larga para series económicas y financieras," Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.
  88. 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.
  89. John Barkoulas & Christopher F. Baum, 1997. "Long Memory and Forecasting in Euroyen Deposit Rates," Boston College Working Papers in Economics 361, Boston College Department of Economics.
  90. 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.
  91. Chung, Ching-Fan, 2001. "Calculating and analyzing impulse responses for the vector ARFIMA model," Economics Letters, Elsevier, vol. 71(1), pages 17-25, April.
  92. Yalama, Abdullah & Celik, Sibel, 2013. "Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market," Economic Modelling, Elsevier, vol. 30(C), pages 67-72.
  93. John T. Barkoulas & Christopher F. Baum & Mustafa Caglayan & Atreya Chakraborty, 1998. "Persistent Dependence in Foreign Exchange Rates? A Reexamination," Boston College Working Papers in Economics 377, Boston College Department of Economics, revised 21 Apr 2000.
  94. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssiere, Gilles, 2003. "Rescaled variance and related tests for long memory in volatility and levels," Journal of Econometrics, Elsevier, vol. 112(2), pages 265-294, February.
  95. 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.
  96. Francis Ahking, 2010. "Non-parametric tests of real exchange rates in the post-Bretton Woods era," Empirical Economics, Springer, vol. 39(2), pages 439-456, October.
  97. Alessandra Spremolla, 2001. "Persistencia en el Desempleo de Uruguay," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 38(113), pages 73-89.
  98. Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
  99. Beran, Jan & Feng, Yuanhua & Ocker, Dirk, 1999. "SEMIFAR models," Technical Reports 1999,03, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  100. 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.
  101. Michael J. Dueker & Richard Startz, 1997. "Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve," Working Papers 1994-027, Federal Reserve Bank of St. Louis.
  102. Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.
  103. George S. Parikakis & Anna Merika, 2009. "Evaluating volatility dynamics and the forecasting ability of Markov switching models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(8), pages 736-744.
  104. Batten, Jonathan & Ellis, Craig & Mellor, Robert, 1999. "Scaling laws in variance as a measure of long-term dependence," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 123-138, June.
  105. Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
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