Behavior of Exchange Rates and Returns: Long Memory and Cointegration

• Authors: E. Syczewska
• 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

89.65.GH

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2012
• Volume: 121
• Issue: 2B
• Pages: B-121-B-127

Dates

published

2012-02

Contributors

author

E. Syczewska

• Warsaw School of Economics, Institute of Econometrics, Madalinskiego 6/8, 02-513 Warsaw, Poland

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Identifiers

DOI

10.12693/APhysPolA.121.B-121