scholarly journals Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

2013 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Luis A. Gil-Alana
Keyword(s):  
Exchange Rate ◽  
Long Memory ◽  
High Frequency ◽  
Fractional Integration ◽  
High Frequency Data ◽  
Frequency Data ◽  
The Us ◽  
Spot Exchange Rate ◽  
Us Dollar

scholarly journals Nonlinearity and fractional integration in the US dollar/euro exchange rate

2012 ◽  
Vol 59 (3) ◽  
pp. 325-334 ◽  
Author(s):  
Burcu Kiran
Keyword(s):  
Exchange Rate ◽  
Long Memory ◽  
Stationary Process ◽  
Fractional Integration ◽  
Nonlinear Behavior ◽  
Threshold Autoregressive ◽  
Threshold Autoregressive Model ◽  
Weak Evidence ◽  
The Us ◽  
Us Dollar

This paper examines the nonlinear behavior and the fractional integration property of the US dollar/euro exchange rate over the period from January 1999 to August 2010 by extending the procedure of Peter M. Robinson (1994) to the case of nonlinearity. First, using the approach developed by Mehmet Caner and Bruce E. Hansen (2001), we investigate the possible presence of nonlinearity in the series through the estimation of a two-regime threshold autoregressive model. After finding nonlinearity, we also allow for disturbances to be fractionally integrated based on the different versions of Robinson (1994) tests. The findings show that the US dollar/euro exchange rate follows a stationary process with a weak evidence for long memory.

Forecasting Exchange Rate Realized Volatility Through Decomposition Using High-Frequency Data

2017 ◽  
Author(s):  
Rim mname Lamouchi ◽  
Russell mname Davidson ◽  
Ibrahim mname Fatnassi ◽  
Abderazak Ben mname Maatoug
Keyword(s):  
Exchange Rate ◽  
High Frequency ◽  
Realized Volatility ◽  
High Frequency Data ◽  
Frequency Data

scholarly journals Keynes and the dollar in 1933: the gold-buying program and exchange rate gyrations

2017 ◽  
Vol 24 (3) ◽  
pp. 209-238 ◽  
Author(s):  
Sebastian Edwards
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Gold Standard ◽  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
Open Letter ◽  
The Ideal

In December 1933, John Maynard Keyes published an open letter to President Roosevelt, where he wrote: ‘The recent gyrations of the dollar have looked to me more like a gold standard on the booze than the ideal managed currency of my dreams.’ This was a criticism of the ‘gold-buying program’ launched in October 1933. In this article I use high-frequency data on the dollar–pound and dollar–franc exchange rates to investigate whether the gyrations of the dollar were unusually high in late 1933. My results show that although volatility was pronounced, it was not higher than during some other periods after 1921. Moreover, dollar volatility began to subside towards the end of the period alluded to by Keynes.

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