Accessibility navigation


A measure of persistence in daily pound exchange rates

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 (1995) A measure of persistence in daily pound exchange rates. Applied Economics Letters, 2 (11). pp. 428-431. ISSN 1466-4291

[img]
Preview
Text - Accepted Version
· Please see our End User Agreement before downloading.

139kB

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

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

Downloads

Downloads per month over past year

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation