LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL EXCHANGE RATES

DOI10.1142/S0219024904002311zbMath1119.91353MaRDI QIDQ5696886

Chris Christodoulou, Fotios Siokis

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

fractional integrationpurchasing power paritywhittle likelihood estimation

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Gaussian semiparametric estimation of long range dependence
• Long memory processes and fractional integration in econometrics
• TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
• A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
• Are Output Fluctuations Transitory?

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