有效汇率序列的长期记忆性实证分析

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摘要本文利用传统的重标极差(R/S)法和修正的重标极差(MRS)法对美元、欧元及日元有效汇率指数的收益率及其波动序列进行长期记忆实证分析。研究结果发现:收益率序列基本不存在长期记忆性,而收益率的波动序列表现出明显的长期记忆性。

作者徐娅芳

机构地区北京航空航天大学经济管理学院

出处《商场现代化》 2010年第13期150-151,共2页

关键词有效汇率长期记忆性 R/S分析修正R/S分析

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商场现代化

2010年第13期

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