Nonlinearity and fractional integration in the US dollar/euro exchange rate

Nonlinearity and fractional integration in the US dollar/euro exchange rate

This paper examines the nonlinear behavior and the fractional integration property of the US dollar/euro exchange rate over the period from January 1999 to August 2010 by extending the procedure of Peter M. Robinson (1994) to the case of nonlinearity. First, using the approach developed by Mehmet...

Full description

Bibliographic Details
Main Author: Kiran Burcu
Format: Article
Language:English
Published: Economists' Association of Vojvodina 2012-01-01
Series:Panoeconomicus
Subjects:
nonlinear behavior
long memory
exchange rate
Online Access:http://www.doiserbia.nb.rs/img/doi/1452-595X/2012/1452-595X1203325K.pdf

Internet

http://www.doiserbia.nb.rs/img/doi/1452-595X/2012/1452-595X1203325K.pdf

Similar Items