PL EN


Preferences help
enabled [disable] Abstract
Number of results
2012 | 121 | 2B | B-121-B-127
Article title

Behavior of Exchange Rates and Returns: Long Memory and Cointegration

Authors
Content
Title variants
Languages of publication
EN
Abstracts
EN
The aim of the paper is to present an example of analysis of exchange rate behavior with use of tools, built in GRETL econometric package, which have been developed by researchers often with background in physics or similar fields, but some (such as tests of integration and cointegration) are less known to physical audience. The series of interest is a bilateral USDPLN exchange rate; including the corresponding stock indices as additional variables can improve quality of a model even in period of crisis.
Keywords
EN
Publisher

Year
Volume
121
Issue
2B
Pages
B-121-B-127
Physical description
Dates
published
2012-02
Contributors
author
  • Warsaw School of Economics, Institute of Econometrics, Madalinskiego 6/8, 02-513 Warsaw, Poland
References
  • [1] L. Bauwens, D. Rime, G. Succarat, Exchange Rate Volatility and the Mixture of Distribution Hypothesis
  • [2] L. Bauwens, W. Pohlmeier, D. Veredas, High Frequency Financial Econometrics. Recent Developments, Physica-Verlag, Springer
  • [3] E.M. Syczewska, Metody ilościowe w badaniach ekonomicznych, vol. XI, no. 1, Warsaw University of Life Sciences - SGGW, Warsaw 2010, p. 145
  • [4] E.M. Syczewska, Roczniki Kolegium Analiz Ekonomicznych, 21/2010, Warsaw School of Economics, p. 99
  • [5] H. Hurst, Trans. Am. Soc. Civil Engineers, 116, 770 (1951)
  • [6] G. Box, G. Jenkins, Time Series Analysis: Forecasting and Control, Holden Day, San Francisco 1970
  • [7] P.J. Brockwell, R.A. Davis, Time Series: Theory and Methods, 2nd Ed., Springer 1991
  • [8] T. Kufel, Ekonometria. Rozwiązywanie problemów z wykorzystaniem programu GRETL, 2nd ed., Wydawnictwo Naukowe PWN, Warszawa 2007
  • [9] D.A. Dickey, W.A. Fuller, Journal of the American Statistical Association, 74 427 (1979)
  • [10] J. MacKinnon, Journal of Applied Econometrics, 11, 601 (1996)
  • [11] D. Kwiatkowski, P.C.B. Phillips, P. Schmidt, Y. Shin, Journal of Econometrics, 54 159 (1992)
  • [12] R.F. Engle, C.W.J. Granger, Econometrica, 55, 251 (1987)
  • [13] The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 2003, http://www.nobelprize.org/nobel_prizes/economics/ laureates/2003/
  • [14] C.W.J. Granger, R. Joyeux, J. Time Series Analysis, 1, 15 (1980)
  • [15] J.R.M. Hosking, Biometrika, 68, 165 (1981)
  • [16] G.S. Maddala, In-Moo Kim, Unit roots, cointegration, and structural change, Cambridge University Press, Cambridge (1998)
  • [17] R.F. Engle, Econometrica, 50, 987 (1982)
  • [18] Robert F. Engle III - Prize Lecture: http://www.nobelprize.org/nobel_prizes/economics/laureates/2003/engle-lecture.html
  • [19] R.T. Baillie, Journal of Econometrics, 73, 5 (1996)
  • [20] J. Geweke, S. Porter-Hudak, J. Time Series Analysis, 4, 221 (1983)
  • [21] P.C.B. Phillips, K. Shimotsu, http://cowles.econ.yale.edu/P/cd/d12b/d1266.pdf, Cowles Foundation Discussion Paper No. 1266, New Haven (2000)
  • [22] H. Künsch, in: Proceedings of the First World Congress of the Bernoulli Society, Eds. Yu. Prokhorov, V.V. Sazanov, VNU Science Press, Utrecht 1987, p. 67
  • [23] P.M. Robinson, Ann. Statist. 23 1630 (1995)
  • [24] P.M. Robinson (Ed.), Time series with long memory, Oxford University Press, Oxford 2003
  • [25] P.C.B. Phillips, http://cowles.econ.yale.edu/P/cd/d12a/d1244.pdf
  • [26] J.V. Sutcliffe, Obituary Harold Edwin Hurst: 1 January 1880-7 December 1978, Hydrological Sciences Bulletin, 24, 539 (1979)
  • [27] A. Mastalerz-Kodzis, Capital market modelling with use of multifractals, University of Economics in Katowice, Katowice 2003, (in Polish)
  • [28] E. Peters, Chaos and order in capital markets, Wiley, 1996 (2nd ed.)
  • [29] E. Peters, Fractal market analysis: Applying chaos theory to investment and economics, Wiley, 1994
  • [30] T. Bollerslev, The Review of Economics and Statistics, 69 542 (1987)
  • [31] T. Bollerslev, Rev. Economics Statistics, 72, 498 (1990)
  • [32] T. Bollerslev, Journal of Econometrics, 52, 5 (1992)
  • [33] J. Brzeszczyński, R. Kelm, Ekonometryczne modele rynków finansowych. Modele kursów giełdowych i kursów walutowych, WIG Press, Warsaw 2002
  • [34] M. Doman, R. Doman, Econometric modeling of the Polish financial market dynamics (in Polish), Publishers of the Poznan Economic University, Poznan (2004)
  • [35] F. Serinaldi, Physica A, 389, 2770 (2010)
  • [36] J. Mielniczuk, P. Wojdyłło, Computational Statistics and Data Analysis, 51, 4510 (2007)
Document Type
Publication order reference
YADDA identifier
bwmeta1.element.bwnjournal-article-appv121n2ba121z2bp22kz
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.