Testing for long-term memory in yen/dollar exchange rate

DOI10.1007/BF02425191zbMath1154.91608MaRDI QIDQ1000360

Ramaprasad Bhar

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

zbMATH Keywords

diffusionheteroscedasticitymartingalefractalmemoryrescaled range

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (1)

On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise

Cites Work

• Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying¹
• Limit theorems on the self-normalized range for weakly and strongly dependent processes

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