題名: Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques
作者: Luis A. Gil-Alana
關鍵字: fractional integration|long memory|exchange rates
期刊名/會議名稱: international journal of business and economics
摘要: In this article we model monthly data on the Japanese nominal exchange rate in relation_x000D_ to the US dollar by means of fractionally integrated statistical models. For this purpose, we use both parametric and semiparametric techniques proposed by P.M. Robinson in a number_x000D_ of papers. The results indicate that the order of integration of the series is higher than 1 and_x000D_ thus the standard approach of taking first differences to get series which are integrated of_x000D_ order 0 (which is required, for example, in the context of cointegration) may lead to spurious_x000D_ results, the series still having a component of long memory behaviour.
ISSN: issn16070704
日期: 2004/08/01
分類:Volume03,No.2

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