Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in International Economics
An Analysis Of Presence Of Long Memory In The Indian Foreign Exchange Market, Anoop Sasikumar
An Analysis Of Presence Of Long Memory In The Indian Foreign Exchange Market, Anoop Sasikumar
Anoop Sasikumar
This paper seeks to analyze the presence of long memory in the Indian foreign exchange market using a family of tests. The study has used Nominal Effective Exchange Rate (NEER) series as the data source to check the possible presence of long memory. Three R/S statistics viz. Hurst, Mandelbrot’s and Lo’s modified R/S statistics as well as two semi-parametric tests viz. Robinson’s Gaussian semi-parametric estimate and Andrews-Guggenberger modified GPH estimator are used for the purpose of analysis. All the results conclusively prove the presence of strong version of long memory in the Indian foreign exchange market.