Download or read book Long Memory in Foreign Exchange Rates Revisited written by Rolf Tschernig and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been recent evidence for long memory in the changes of foreign exchange spot rates that is captured by the fractionally integrated ARMA model. This paper extends these investigations in several directions. First, the estimation procedure allows for GARCH errors. Second, in addition to the total period from 1973 to 1990 three subperiods are analyzed. Third, for the US-Dollar spot rates of the Deutsche Mark and the Swiss Franc ARFIMA model selection and estimation results for various observation frequencies are compared to ARFIMA specifications and their parameter values that are obtained from temporal aggregation. As a result the evidence for weak long memory in the changes of US-Dollar exchange rates is confirmed. However, long memory appears to be a property attached to the US currency since the analysis of the Deutsche Mark/Swiss Franc spot rate changes does not reveal any long memory.

Download or read book Long Memory in Foreign Exchange Rates written by Yin-Wong Cheung and published by . This book was released on 1990 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Long Memory in Foreign Exchange Rates and Sampling Properties of Some Statistical Procedures Related to Long Memory Series written by Yin-Wong Cheung and published by . This book was released on 1990 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monetary Policy Capital Flows and Exchange Rates written by William Allen and published by Routledge. This book was released on 2002-02-21 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: Maxwell Fry was known internationally for his research into international and domestic financial issues. This book constitutes a tribute to his pioneering work in so many areas, and draws together contributions from a range of academic and policy-making colleagues who were fortunate enough to experience the depth of knowledge and insights which Max

Download or read book Long Memory in Rupee Dollar Exchange Rate Returns written by Utkarsh Shrivastava and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial time series like exchange rates are highly persistent. An unexpected shock to the underlying variable has long lasting effects. The persistence in the volatility of the time series is usually exemplified by a highly persistent fitted GARCH model. Traditional stationary ARMA processes often cannot capture the high degree of persistence in financial time series. In the last few years, more applications have evolved using long memory processes, which lie halfway between traditional stationary I (0) processes and the non-stationary I (1) processes. There is substantial evidence that long memory processes can provide a good description of many highly persistent financial time series. This study examines last 37 years of continuous log returns of INR-USD exchange rates for long memory effect. R/S test statists confirms the presence of long memory effect, parameters are estimated using Whittle's method. Further analysis shows that only long memory component with fractionally integrated FARIMA is not stable and short memory component are required to make makes model stable. Tests prove that FARIMA (2, 0.004, 0) explains the variations best in case of Rupee-Dollar exchange rate returns.

Download or read book Long Memory and Volatility Dynamics in the US Dollar Exchange Rate written by Guglielmo Maria Caporale and published by . This book was released on 2016 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. In the paper both absolute values of returns and squared returns are modelled using long-memory techniques, being particularly interested in volatility modelling and forecasting. Compared with previous studies using fractional integration such as Granger and Ding (1996), a more general model is estimated, which allows for dependence not only at the zero but also at other frequencies. The results show differences in the behaviour of the two series: a long-memory cyclical model and a standard I(1) model seem to be the most appropriate for the US dollar rate vis-à-vis the Euro and the Japanese Yen respectively.

Download or read book Long Memory in Economics written by Gilles Teyssière and published by Springer Science & Business Media. This book was released on 2006-09-22 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.

Download or read book Flexible Exchange Rates and the Balance of Payments written by Egon Sohmen and published by North Holland. This book was released on 1980 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Fractional Integration Stable Distributions and Long memory Models of Foreign Exchange Rates written by and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Determination Puzzle Long Run Behavior and Short Run Dynamics written by Falkmar Butgereit and published by diplom.de. This book was released on 2009-07-02 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Introduction: As the foreign exchange rate market operates twenty-four hours a day and seven days a week it can be described as a global marketplace trading in continuous time. The importance of this market place on weal and woe of economies and agents cannot be overestimated. Long lasting disputes about exchange rate over- and under-evaluation between countries (as most prominently the case between China and the USA) and its implications for international trade, growth rates of economies, unemployment levels, financial money flows, and so forth illustrate this point. As reported by the Bank of International Settlement in its triennial Central Bank Survey 2007, covering 54 countries and jurisdictions, the daily average foreign exchange turnover as of April 2007 has reached a mind-staggering $3.21 trillion. This amount marks an increase of 69 percent compared to the $1.97 trillion three years earlier and highlights the still increasing importance of the exchange rate markets. The U.S. dollar is by far the most important currency as it is involved in 86 percent of all transactions amounting to some $2.7 trillion per day. This is by far bigger than the volume of U.S. international trade in goods and services which for the month April 2007 amounted to (imports + exports) $317.5 billion.1 Indeed, only 17 percent of exchange market turnover has been reported to occur with non-financial customer counterparties, while 43 percent of transactions occur between reporting dealers (i.e. the interbank market) and 40 percent occur between reporting and non-reporting financial institutions (e.g. hedge funds, mutual funds, pension funds, insurance companies). Accordingly, more than 2/3 of the turnover was traded as derivatives such as foreign exchange swaps, outright forwards, or options, while only 1/3 constituted spot rate transactions. These are important facts to consider when talking about forces of exchange rate determination. On ground of these figures one may reasonably explain why old-fashion standard models like the monetary model or purchasing power parity may only hold in the very long run and exchange rate movements may be much more subject to trades based on heterogeneous expectations incurred by investors, speculators and market makers. Particularly at the short-run exchange rates exhibit considerably greater volatility than macroeconomic time series leaving an impression of noisy and chaotic behavior. Throughout this work it [...]

Download or read book The Big Data Driven Digital Economy Artificial and Computational Intelligence written by Abdalmuttaleb M. A. Musleh Al-Sartawi and published by Springer Nature. This book was released on 2021-05-28 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows digital economy has become one of the most sought out solutions to sustainable development and economic growth of nations. This book discusses the implications of both artificial intelligence and computational intelligence in the digital economy providing a holistic view on AI education, economics, finance, sustainability, ethics, governance, cybersecurity, blockchain, and knowledge management. Unlike other books, this book brings together two important areas, intelligence systems and big data in the digital economy, with special attention given to the opportunities, challenges, for education, business growth, and economic progression of nations. The chapters hereby focus on how societies can take advantage and manage data, as well as the limitations they face due to the complexity of resources in the form of digital data and the intelligence which will support economists, financial managers, engineers, ICT specialists, digital managers, data managers, policymakers, regulators, researchers, academics, students, economic development strategies, and the efforts made by the UN towards achieving their sustainability goals.

Download or read book Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility written by Christian Hafner and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.

Download or read book The Long Memory of Exchange Rate Returns written by and published by . This book was released on 1995 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modelling Foreign Exchange Realized Volatility Using High Frequency Data written by Abderazak Ben Maatoug and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show evidence for the presence of long memory in the exchange rates' realized volatility. From the Bai - Perron test, we found structural breakpoints that match significant events in financial markets. Furthermore, the findings provide strong evidence in favour of the presence of long memory.

Download or read book Long Memory in the R US Exchange Rate written by Márcio Poletti Laurini and published by . This book was released on 2002 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Monetary Approach to the Exchange Rate written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1992-05-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We re-examine the monetary approach to the exchange rate from a number of perspectives, using monthly data on the deutschemark-dollar exchange rate. Using the Campbell-Shiller technique for testing present value models, we reject the restrictions imposed upon the data by the forward-looking rational expectations monetary model. We demonstrate, however, that the monetary model is validated as a long-run equilibrium condition. Moreover, imposing the long-run monetary model restrictions in a dynamic error correction framework leads to exchange rate forecasts which are superior to those generated by a random walk forecasting model.

Download or read book Effects of Financial Crises on the Long Memory Volatility Dependency of Foreign Exchange Rates written by Young Wook Han and published by . This book was released on 2016 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09. By using the daily KRW-USD and JPY-USD exchange rates which have different trading regions and volumes, this paper first applies both the parametric FIGARCH model and the semi-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility dependency of the daily returns. The estimation results reflect that the long memory volatility dependency of the KRW-USD is generally greater than that of the JPY-USD returns and the long memory dependency of the two returns appears to be invariant to temporal aggregation. And, the two financial crises appear to affect the volatility dynamics of all the returns by inducing greater long memory dependency in the volatility process of the exchange returns, but the degree of the effects of the two crises seems to be different on the exchange rates.