«ДЛИННАЯ ПАМЯТЬ» В ОБМЕННЫХ КУРСАХ The long-run dependence in exchange courses

П. В. Конюховский, О. А. Подкорытова, O. A. Podkorytova)

Research output

Abstract

This study provides empirical evidence of the long-run dependence in the returns and volatility of rouble exchange courses. The measures of long-term persistence employed are the modified rescaled range statistics (R/S) proposed by Lo (1991) and the KPSS test. Significant long-run memory is conclusively demonstrated in the volatility measures, while there is a little evidence for the presence of long-run memory in the returns themselves.
Original languageRussian
Pages (from-to)102-109
JournalВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. СЕРИЯ 5: ЭКОНОМИКА
Issue number3
Publication statusPublished - 2007

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