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A measure of persistence in daily pound exchange rates

Brooks, C. (1995) A measure of persistence in daily pound exchange rates. Applied Economics Letters, 2 (11). pp. 428-431. ISSN 1466-4291

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To link to this item DOI: 10.1080/135048595356998

Abstract/Summary

An alternative procedure to that of Lo is proposed for assessing whether there is significant evidence of persistence in time series. The technique estimates the Hurst exponent itself, and significance testing is based on an application of bootstrapping using surrogate data. The method is applied to a set of 10 daily pound exchange rates. A general lack of long-term memory is found to characterize all the series tested, in sympathy with the findings of a number of other recent papers which have used Lo's techniques.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:35993
Publisher:Taylor & Francis

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