Strong dependence in the nominal exchange rates of the Polish zloty

We examine the nominal exchange rates of six currencies (Canadian, Australian and U.S. dollars, euro, Japanese yen and U.K. pound) against the Polish zloty by means of statistical techniques based on unit roots and other long memory processes. We use both parametric and semiparametric methods for es...

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Bibliographic Details

Published in:	Applied stochastic models in business and industry Vol. 23; no. 2; pp. 97 - 116
Main Authors:	Gil-Alana, L. A., Nazarski, M.
Format:	Journal Article
Language:	English
Published:	Chichester, UK John Wiley & Sons, Ltd 01-03-2007
Subjects:	long memory nominal exchange rates non-stationarity unit roots
Online Access:	Get full text
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