Long memory and shifts in the unconditional variance in the exchange rate euro/us dollar returns
Ibrahim Ahamada
- Fonction : Auteur
- PersonId : 847780
- ORCID : 0000-0003-2641-0801
- IdRef : 07049472X
Jamel Jouini
- Fonction : Auteur
- PersonId : 862759
Résumé
In this paper two characteristics a priori contradictory and yet coexistent in the daily returns of exchange rate euro/US dollar are drawn. The non-stationarity of the covariance structure of the series is shown and, after the extraction of the unstable variance using the algorithm based on the cumulative sums of squares of Inclan and Tiao ( Journal of the American Statistical Association , 1994 , 89 (427), 913-23), the existence of long-memory in the filtered series. Does the non-stationarity of the unconditional variance explain the phenomenon of long-memory? Thus a classic debate is found of which the exit does not again elucidate.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Long memory and shifts in the unconditional variance in the exchange rate euro/us dollar returns
|
Résumé |
en
In this paper two characteristics a priori contradictory and yet coexistent in the daily returns of exchange rate euro/US dollar are drawn. The non-stationarity of the covariance structure of the series is shown and, after the extraction of the unstable variance using the algorithm based on the cumulative sums of squares of Inclan and Tiao ( Journal of the American Statistical Association , 1994 , 89 (427), 913-23), the existence of long-memory in the filtered series. Does the non-stationarity of the unconditional variance explain the phenomenon of long-memory? Thus a classic debate is found of which the exit does not again elucidate.
|
Auteur(s) |
Leïla Nouira
1
, Ibrahim Ahamada
1, 2
, Jamel Jouini
1
, Alain Nurbel
3
1
GREQAM -
Groupement de Recherche en Économie Quantitative d'Aix-Marseille
( 199934 )
- Centre de la Vieille Charité, 2 rue de la Charité, 13236 Marseille cedex 02
- France
2
EUREQUA -
Equipe Universitaire de Recherche en Economie Quantitative
( 5545 )
- Maison des Sciences Économiques 106-112 Bd de l'Hôpital 75647 Paris Cedex 13
- France
3
Faculté de droit et d'économie
( 57287 )
- France
|
Comité de lecture |
Oui
|
Vulgarisation |
Non
|
Langue du document |
Anglais
|
Nom de la revue |
|
Date de production/écriture |
2004
|
Audience |
Internationale
|
Date de publication |
2004
|
Volume |
11
|
Numéro |
9
|
Page/Identifiant |
591 - 594
|
Commentaire |
http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=13929098&site=ehost-live
|
Domaine(s) |
|
Mots-clés |
en
long memory, nonstationariry
|
DOI | 10.1080/1350485042000230733 |
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