| Titre | Dépendance de court et de long terme des rendements de taux de change | |
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| Auteur | Christelle Lecourt | |
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Revue | Economie et prévision |
| Numéro | no 146, 2000/5 | |
| Page | 127-137 | |
| Résumé anglais |
Short- and Long-Run Dependence of Exchange Rate Returns by Christelle Lecourt
In this paper, we estimate an ARFIMA-GARCH model as introduced by Baillie, Bollerslev and Mikkelsen (1996) for the four leading daily exchange rate returns. Our main contribution is to take account of ARCH effects using a GARCH model and to consider the kurtosis in the series by opting for a Student distribution rather than a normal distribution. The results obtained show that most of the exchange rate return series have a poor long-run memory. The economic implications of these findings are considerable. Firstly, they should help improve forecasts of returns. Secondly, they imply that the efficient market (in the weak sense) hypothesis does not hold. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_2000_num_146_5_6132 |
