Testing for long memory in the Asian foreign exchange rates

DOI10.1007/s11424-006-0182-5zbMath1272.91097OpenAlexW1981955076MaRDI QIDQ863018

Abdol S. Soofi, Yu-Qin Zhang, Shou-Yang Wang

Publication date: 25 January 2007

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-006-0182-5

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Related Items (2)

A two-sample test for comparison of long memory parameters ⋮ Unnamed Item

Uses Software

• longmemo
• Selfis

Cites Work

• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Gaussian semiparametric estimation of long range dependence
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Long-Term Memory in Stock Market Prices
• Limit theorems on the self-normalized range for weakly and strongly dependent processes
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
• Calculating and analyzing impulse responses for the vector ARFIMA model.
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