English, Article edition: Exchange rates and fractional integration revisited P. Sephton

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Bookmark: http://trove.nla.gov.au/version/50863
Physical Description
  • article
Language
  • English

Edition details

Title
  • Exchange rates and fractional integration revisited
Author
  • P. Sephton
Physical Description
  • article
Notes
  • Jin, et al. (2006) relied on a semi-parametric wavelet estimator of the degree of fractional integration and its associated t-statistic to conclude that many exchange rates appear to be fractionally integrated. This note demonstrates that several recent tests for fractional integration provide a much different view of the temporal properties of many exchange rates.
  • RePEc:taf:apfelt:v:4:y:2008:i:6:p:383-387
Language
  • English
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