«Длинная память» в обменных курсах
Аннотация
This study provides empirical evidence of the long-run dependence in the returns and volatility of rouble exchange courses. The measures of long-term persistence employed are the modified rescaled range statistics (R/S) proposed by Lo (1991) and the KPSS test. Significant long-run memory is conclusively demonstrated in the volatility measures, while there is a little evidence for the presence of long-run memory in the returns themselves.
Ключевые слова:
эконометрика
Скачивания
Данные скачивания пока недоступны.
Библиографические ссылки
Литература на русском языке
References in Latin Alphabet
Andersen T., Bollerslev T. Heterogeneous information arrivals and return volatility dynamics // Journal of Finance. 1997. P. 52.
Andrews D. Non-Strong Mixing Autoregressive Processes // Journal of Probability. 1984. N 21. P. 930–934.
Backus D. K., Zin S. E. Long memory inflation uncertainty: evidence from the term structure of interest rates // Journal of Money, Credit and Banking. 1993. N 25. P. 681–700.
Bollerslev T., Mikkelsen H. O. Modelling and pricing long memory in stock market volatility // Journal of Economics. 1996. N 73. P. 151–184.
Cheung Y.-W. Tests for fractional integration: A Monte Carlo Investigation // Journal of time series Analysis 1993. N 14 (4). P. 331–345.
Granger C. W. J., Joyeux R. An Introduction to Long -Memory Time Series Models and Fractional Differencing // Journal of Time Series Analysis. 1980. N 1(1). P. 15–29.
Grau-Carles P. Empirical evidence of long-range correlations in stock returns // PhysicaA. 2000. N 287. P. 396–404.
Greene M. T., Fielitz B. D. Long-term dependence in common stock returns // Journal of Financial Economics. 1977. N 4. P. 339–349.
Hoskins J. R. M. Fractional Differencing // Biometrica. 1981. N 68. P. 165–176.
Hurst H. E. Long term Storage Capacity of Reservoirs // Transactions of the American Society of Civil Engineers. 1951. N 116. P. 770–799.
Kennedy D. P. The distribution of the maximum Brownian excursion // Journal Applied Probability. 1976. N 13. P. 371–376.
Lamoureux Ch. G., Lastrapes W. D. Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects // Journal of Finance. American Finance Association. 1990. Vol. 45(1). P. 221–229.
Lee D., Shmidt P. On the power of KPSS test of Stationarity against fractionally integrated alternatives // Journal of Econometrics. 1996. N 73. P. 285–302.
Lo A. W. Long Term Memory in Stock Market Prices // Econometrica. 1991. N 59. P. 1279–1313.
Lo A. W. Long-term memory in Stock Market Prices // Working Paper, Sloan School of Management. 1988. M.I.T.
Mandelbrot B. Statistical Methodology for Non-Periodic Cycles: From the Covariance to R/S Analysis // Annals of Economic and Social Measurement. 1972. N 1. P. 259–290.
Mandelbrot B., Taqqu M. Robust R/S Analysis of Long-Run Serial Correlation // Bulletin of the International Statistical Institute. 1979. N 48. Book 2. P. 59–104.
Mandelbrot B., Wallis J. Noah, Joseph and Operational Hydrology // Water Resources Research. 1968. N 4. P. 909–918.
Millen S., Beard R. Estimation of the Hurst exponent for the Burdekin River using the Hurst-Mandelbrot Rescaled Range Statistic: Working paper on the University of Queensland. 2003.
Newey W., West K. A Simple Positive Definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix // Econometrica. 1987. N 55. P. 703–705.
Siddiqui M. M. The asymptotic distribution of the range and other functions of partial sums of stationary processes // Water Resources Research. 1976. N 12. P. 1271–1276.
Sowell F. The fractional unit root distribution // Econometrica. 1990. N 58. P. 495–506.
Teverlosky V., Taqqu M. S., Willinger W. A critical look at Lo modified R/S statistic // Journal of Statistical Planning and Inference. 1999. N 80. P. 211–227.
Translation of references in Russian into English
Загрузки
Опубликован
28.09.2007
Как цитировать
Конюховский, П. В., & Подкорытова, О. А. (2007). «Длинная память» в обменных курсах. Вестник Санкт-Петербургского университета. Экономика, (3), 102–109. извлечено от https://economicsjournal.spbu.ru/article/view/3898
Выпуск
Раздел
Эконометрика
Лицензия
Статьи журнала «Вестник Санкт-Петербургского университета. Экономика» находятся в открытом доступе и распространяются в соответствии с условиями Лицензионного Договора с Санкт-Петербургским государственным университетом, который бесплатно предоставляет авторам неограниченное распространение и самостоятельное архивирование.
