Long Memory in Foreign-Exchange Rates
- 1 January 1993
- journal article
- Published by JSTOR in Journal of Business & Economic Statistics
- Vol. 11 (1) , 93
- https://doi.org/10.2307/1391309
Abstract
Using the Geweke-Porter-Hudak test, we find evidence of long memory in exchange-rate data. This implies that the empirical evidence of unit roots in exchange ra...Keywords
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