The long-run dependence in exchange courses
Abstract
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.
Keywords:
econometrics
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Литература на русском языке
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Published
2007-09-28
How to Cite
Конюховский, П. В., & Подкорытова, О. А. (2007). The long-run dependence in exchange courses. St Petersburg University Journal of Economic Studies, (3), 102–109. Retrieved from https://economicsjournal.spbu.ru/article/view/3898
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Econometrics
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Articles of the St Petersburg University Journal of Economic Studies are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.
