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

Bhar, Ramaprasad

doi:10.1007/bf02425191

Cited by 10 publications

(7 citation statements)

References 20 publications

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“…Neredeyse bütün çalışmalarda, Amerikan doları cinsinden döviz kurları üzerinde çalışmalar gerçekleştirilmiştir. Asya kıtasında yapılan çalışmalara: Bhar (1994), Cheng (2001), Nath & Reddy (2003), Soofi, Wang & Zhang (2006), Vats (2011), Shrivastava & Kapoor (2013), Kang, Mclver, Park & Yoon (2014), Kumar (2014), Sankarkumar, Selvam, Maniam & Sigo (2017) örnek olarak gösterilebilir. Bhar (1994) Japon yeni için getiride uzun hafızanın bulunmadığını ancak volatilitede olduğunu belirlemiştir.…”

Section: Li̇teratürunclassified

Türki̇ye Dövi̇z Pi̇yasasi Etki̇nli̇ği̇ni̇n Test Edi̇lmesi̇

GÜNEŞ

2022

Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi

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Etkin Piyasa Hipotezi, piyasadaki tüm bilgilerin varlık fiyatı içerisine dâhil olduğunu öne sürdüğü için bu bilgileri kullanarak ortalama piyasa getirisi üzerinde bir kazanç elde edilemeyeceğini belirtmektedir. Ancak piyasada uzun hafıza varlığının tespit edilmesi durumunda, bu durum ortadan kalkmaktadır. Çalışma, Türk lirasının 5 yabancı para birimi ile olan ikili uzun hafıza ilişkisini araştırmak için yapılmıştır. Getiride, Ruble / TL döviz kuru hariç tüm döviz kurlarında uzun hafıza olduğu tespit edilmiştir. Volatilitede, tüm döviz kurları için uzun hafıza varlığı bulunmuştur. Hem getiride hem de volatilitede, USD/ TL ve Yuan / TL döviz kurlarının uzun hafıza özelliği sergilediği belirlenmiştir.

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Section: Li̇teratürunclassified

Türki̇ye Dövi̇z Pi̇yasasi Etki̇nli̇ği̇ni̇n Test Edi̇lmesi̇

GÜNEŞ

2022

Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi

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“…This paper employs the modified R/S technique suggested by Lo (1991) to explore the presence of long-term dependence in monthly exchange rate data on the Nigerian currency from 1986 through 2004. Using Bhar's (1996) variables, the continuously compounded return, x t between time tÀ1 and t for the spot currency prices, P t and P tÀ1 is defined as:…”

Section: Modified Rescaled Range (R/s) Analysismentioning

confidence: 99%

Fractional Brownian dynamics in naira/dollar foreign exchange rates

Ayadi

2013

W Jnl of Ent Man and Sust Dev

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Purpose -This paper seeks to characterize the behavior of the naira/dollar foreign exchange rate series over the period 1999 through 2006 to determine if the process generating the series has long memory which is a special case of fractional Brownian motion. The existence of long memory contradicts the notion of market efficiency. Design/methodology/approach -The paper employs the modified rescaled range R/S test which is proposed by Lo to test the null hypothesis that daily and weekly NGN/USD exchange rates from 1999 through 2006 exhibit short-memory process. The second test that was also employed is the Geweke-Porter-Hubak (GPH) test which was refined by Hurvich et al. Findings -The results show that long memory is present in daily and weekly foreign exchange level series of the Nigerian naira for the period sampled. This evidence implies that the Nigerian foreign exchange market may not be efficient. Thus, it is possible for investors to realize abnormal profit by taking an investment position based on predicted exchange rates. The results reported in this paper are also indicative of a deviation from long-run PPP. Originality/value -This paper is the first to empirically apply the modified R/S and GPH tests to explore the existence of long-memory process in a country study of foreign exchange series using data from Nigeria.

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“…According to basic stylized facts FX returns do not have long memory however absolute or square returns time series exhibit mean-averting long-term dependence (see for example [1,2,9]).…”

Section: Long Memory In Fx Returnsmentioning

confidence: 99%

Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation

Pranckevičiūtė

2010

LMR

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This paper presents the study on long memory in absolute daily returns of the US dollar versus euro, the British pound and the Japanese yen aggregated foreign exchange rates. Pointwise, maximum price, minimum price and average price aggregation rules for high frequency foreign exchange rates are introduced. The classical R/S statistic is used to analyze Hurst exponents dependence on the choice of data aggregation function.

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

Cited by 10 publications

References 20 publications

Türki̇ye Dövi̇z Pi̇yasasi Etki̇nli̇ği̇ni̇n Test Edi̇lmesi̇

Türki̇ye Dövi̇z Pi̇yasasi Etki̇nli̇ği̇ni̇n Test Edi̇lmesi̇

Fractional Brownian dynamics in naira/dollar foreign exchange rates

Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation

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