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

Standard

«ДЛИННАЯ ПАМЯТЬ» В ОБМЕННЫХ КУРСАХ The long-run dependence in exchange courses. / Конюховский, П. В.; Подкорытова, О. А.; Podkorytova), O. A.

в: ВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. СЕРИЯ 5: ЭКОНОМИКА, № 3, 2007, стр. 102-109.

Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование

Author

Конюховский, П. В. ; Подкорытова, О. А. ; Podkorytova), O. A. / «ДЛИННАЯ ПАМЯТЬ» В ОБМЕННЫХ КУРСАХ The long-run dependence in exchange courses. в: ВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. СЕРИЯ 5: ЭКОНОМИКА. 2007 ; № 3. стр. 102-109.

BibTeX

@article{3c5b31a229ae42b3b2a141a7b876aabc,

title = "«ДЛИННАЯ ПАМЯТЬ» В ОБМЕННЫХ КУРСАХ The long-run dependence in exchange courses",

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.",

author = "Конюховский, {П. В.} and Подкорытова, {О. А.} and Podkorytova), {O. A.}",

year = "2007",

language = "русский",

pages = "102--109",

journal = " ВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. ЭКОНОМИКА",

issn = "1026-356X",

publisher = "Издательство Санкт-Петербургского университета",

number = "3",

}

RIS

TY - JOUR

T1 - «ДЛИННАЯ ПАМЯТЬ» В ОБМЕННЫХ КУРСАХ The long-run dependence in exchange courses

AU - Конюховский, П. В.

AU - Подкорытова, О. А.

AU - Podkorytova), O. A.

PY - 2007

Y1 - 2007

N2 - 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.

AB - 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.

M3 - статья

SP - 102

EP - 109

JO - ВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. ЭКОНОМИКА

JF - ВЕСТНИК САНКТ-ПЕТЕРБУРГСКОГО УНИВЕРСИТЕТА. ЭКОНОМИКА

SN - 1026-356X

IS - 3

ER -

ID: 5020130