testingforlongmemoryintheasianforeignexchangerates

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	testingforlongmemoryintheasianforeignexchangerates
	Abdol S Soofi 1; Shouyang Wang2 ; Yuqin Zhang 3
	2006
发表期刊	journalofsystemsscienceandcomplexity
ISSN	1009-6124
卷号	19 期号:2 页码:182
摘要	In this paper, we use the plug-in and Whittle methods that are based on spectral regression analysis to test for the long memory property in 12 Asian/dollar daily exchange rates. The results according to the plug-in method show that with the exception of Chinese renminbi all series may have long memory properties. The results based on the Whittle method, on the other hand, show that only Japanese yen and Malaysian ringgit may have long memory properties. It is well known that inference about the differencing parameter, d, in presence of structural break in a series entails considerable difficulties. Therefore, given the financial crisis of 1997–1998 in Asia, further tests for unravelling of the memory property and presence of structural break in the exchange rate series are required.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/47966
专题	系统科学研究所
作者单位	1.Department of Economics, University of Wisconsin, Platteville 2.中国科学院数学与系统科学研究院 3.对外经济贸易大学
推荐引用方式 GB/T 7714	Abdol S Soofi,Shouyang Wang,Yuqin Zhang. testingforlongmemoryintheasianforeignexchangerates[J]. journalofsystemsscienceandcomplexity,2006,19(2):182.
APA	Abdol S Soofi,Shouyang Wang,&Yuqin Zhang.(2006).testingforlongmemoryintheasianforeignexchangerates.journalofsystemsscienceandcomplexity,19(2),182.
MLA	Abdol S Soofi,et al."testingforlongmemoryintheasianforeignexchangerates".journalofsystemsscienceandcomplexity 19.2(2006):182.