Working paper/research report

Publication year: 2007

DOI Link: https://doi.org/10.13140/RG.2.2.34482.40641

Title of series: CCFEA Working Paper Series

Number in series: WP011-07

Abstract: 

Empirical research on financial market data reported a number of properties of return time series which are considered as ‘stylized facts’. In this contribution, measures of dependence of foreign exchange rate returns are discussed. Furthermore, statistics of long memory are considered. The robustness of the statistics is analyzed using the bootstrap and considering different subsamples. It is also analyzed how time aggregation affects these properties.
Based on the results, robust stylized facts are selected which – together with similar results for unconditional distributions provided in a companion paper – will result in an objective function for an indirect estimation method of agent based models.

Harvard Citation style: Winker, P. and Jeleskovic, V. (2007) Dependence of - and Long Memory in - Exchange Rate Returns: Statistics, Robustness, Time Aggregation. (CCFEA Working Paper Series, WP011-07). Colchester: University of Essex. https://doi.org/10.13140/RG.2.2.34482.40641

APA Citation style: Winker, P., & Jeleskovic, V. (2007). Dependence of - and Long Memory in - Exchange Rate Returns: Statistics, Robustness, Time Aggregation. (CCFEA Working Paper Series, WP011-07). University of Essex. https://doi.org/10.13140/RG.2.2.34482.40641