Cellini, Roberto and Cuccia, Tiziana (2011): Are exchange rates really free from seasonality? An exploratory analysis on monthly time series.
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This article questions the assumption that exchange rates are non-seasonal and provides selected evidence of monthly time series of exchange rates in which significant seasonal components are present. However, the seasonal component appears to be absent in more recent data. Tentative explanations are suggested.
|Item Type:||MPRA Paper|
|Original Title:||Are exchange rates really free from seasonality? An exploratory analysis on monthly time series|
|Keywords:||Seasonality; Exchange rates|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Roberto Cellini|
|Date Deposited:||12. May 2011 12:22|
|Last Modified:||15. Feb 2013 19:56|
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