long-term dependence in exchange rates

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ID: 190932
2000
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Abstract
The extent to which exchange rates of four major currencies against the Greek Drachma exhibit long-term dependence is investigated using a R/S analysis testing framework. We show that both classic R/S analysis and the modified R/S statistic if enhanced by bootstrapping techniques can be proven very reliable tools to this end. Our findings support persistence and long-term dependence with non-periodic cycles for the Deutsche Mark and the French Franc series. In addition a noisy chaos explanation is favored over fractional Brownian motion. On the contrary, the US Dollar and British Pound were found to exhibit a much more random behavior and lack of any long-term structure.
Reference Key
karytinos2000discretelong-term Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;A. Karytinos;A. S. Andreou;G. Pavlides
Journal Journal of the American Heart Association
Year 2000
DOI
10.1155/S1026022600000017
URL
http://dx.doi.org/10.1155/S1026022600000017
Keywords
mathematics bootstrapping noisy chaos

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