Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market
Author:
Affiliation:
1. University of Dr Moulay Tahar Saida , PO Box138, Saida, DZ
2. University of Dr. Moulay Tahar Saida , PO Box 138, Saida, DZ
Abstract
Publisher
Walter de Gruyter GmbH
Link
https://www.sciendo.com/pdf/10.2478/mdke-2022-0024
Reference37 articles.
1. Afzal, A., & Sibbertsen, P. (2022). Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates. Open Economies Review, 2(1), 1-23. https://doi.org/10.1007/s11079-022-09686-210.1007/s11079-022-09686-2
2. Azad, A. S. (2009). Random walk and efficiency tests in the Asia-Pacific foreign exchange markets: Evidence from the post-Asian currency crisis data. Research in International Business and Finance, 23(2), 322-338. https://doi.org/10.1016/j.ribaf.2008.11.00110.1016/j.ribaf.2008.11.001
3. Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 74(1), 3-30. https://doi.org/10.1016/S0304-4076(95)01749-610.1016/S0304-4076(95)01749-6
4. Barkoulas, J., Barilla, A., & Wells, W. (2016). Long-memory exchange rate dynamics in the Euro era. Chaos, Solitons and Fractals, 86, 92–100. https://doi.org/10.1016/j.chaos.2016.02.00710.1016/j.chaos.2016.02.007
5. Beine, M., & Laurent, S. (2003). Central bank interventions and jump in double long memory models of daily exchange rate. Journal of Empirical Finance, 10(5), 641-660. https://doi.org/10.1016/S0927-5398(03)00009-410.1016/S0927-5398(03)00009-4
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