Empirical evidence of the spot and the forward exchange rates in Canada.

DOI10.1016/S0165-1765(02)00156-8zbMath1158.91466OpenAlexW2088309005MaRDI QIDQ1852949

Luis A. Gil-Alana

Publication date: 21 January 2003

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00156-8

zbMATH Keywords

Long memoryFractional integrationSpot and forward exchange rates

Mathematics Subject Classification ID

Economic time series analysis (91B84) Fractional derivatives and integrals (26A33)

Cites Work

• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Mean reversion in the real exchange rates
• Testing Stochastic Cycles in Macroeconomic Time Series
• Fitting long-memory models by generalized linear regression
• Efficient Tests of Nonstationary Hypotheses
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• An exponential model for the spectrum of a scalar time series

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