Matsushita, Raul and Gleria, Iram and Figueiredo, Annibal and Da Silva, Sergio (2007): Are Pound and Euro the Same Currency? - Updated.
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Based on long range dependence, some analysts claim that the exchange rate time series of the pound sterling and of an artificially extended euro have been locked together for years despite daily changes [1, 9]. They conclude that pound and euro are in practice the same currency. We assess the long range dependence over time through Hurst exponents of pound-dollar and extended euro-dollar exchange rates employing three alternative techniques, namely rescaled range analysis, detrended fluctuation analysis, and detrended moving average. We find the result above (which is based on detrended fluctuation analysis) not to be robust to the changing techniques and parameterizing.
|Item Type:||MPRA Paper|
|Original Title:||Are Pound and Euro the Same Currency? - Updated|
|Keywords:||False euro; exchange rates; financial efficiency; Hurst exponent; R/S analysis; detrended fluctuation analysis; detrending moving average|
|Subjects:||F - International Economics > F3 - International Finance > F31 - Foreign Exchange
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Sergio Da Silva|
|Date Deposited:||03. Mar 2007|
|Last Modified:||19. Feb 2013 03:15|