Title :
Analysis and Empirical Research on the Long-Memory Property of Exchange Rate Time Series
Author :
Xie Chi ; Yang Ni
Author_Institution :
Sch. of Bus. Adm., Hunan Univ., Changsha
Abstract :
This paper applies the Rescaled Range Analysis(R/S), Log Period-gram Estimation(GPH) and Gaussian Semi-parametric Estimation(GSP) on eighteen time series, including daily, weekly and monthly of six exchange rates. The results tell us there does be the "Long-Memory" in exchange rates. It doesn\´t only help us for knowing exchange rates better with ARFIMA, but also for forecasting and National Bank\´s intervening.
Keywords :
Gaussian processes; exchange rates; time series; Gaussian semiparametric estimation; National Bank; exchange rate time series; log period-gram estimation; long-memory property; rescaled range analysis; Economic forecasting; Exchange rates; Fractals; Petroleum; Power generation economics; Security; Statistical analysis; Stochastic processes; Time series analysis; Tin;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2007. WiCom 2007. International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-1311-9
DOI :
10.1109/WICOM.2007.1449
