Assessing inefficiency in euro bilateral exchange rates

Detalhes bibliográficos
Autor(a) principal: Tabak, Benjamin Miranda
Data de Publicação: 2006
Outros Autores: Cajueiro, Daniel Oliveira
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/621
https://repositorio.ucb.br:9443/jspui/handle/123456789/7775
Resumo: This paper assesses inefficiency for 10 euro bilateral exchange rates. We study the dynamics of these time series by estimating Tsallis q entropic index and Hurst exponents using the local Whittle estimator. Empirical results suggest that US, Canadian and Singapore dollar are amongst the most efficient currencies, while Japanese yen and Swedish krona are amongst the most inefficient.
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spelling Tabak, Benjamin MirandaCajueiro, Daniel Oliveira2016-10-10T03:52:37Z2016-10-10T03:52:37Z2006TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Assessing inefficiency in euro bilateral exchange rates. Physica A, v. 367, p. 319–327, 2006http://twingo.ucb.br:8080/jspui/handle/10869/621https://repositorio.ucb.br:9443/jspui/handle/123456789/7775This paper assesses inefficiency for 10 euro bilateral exchange rates. We study the dynamics of these time series by estimating Tsallis q entropic index and Hurst exponents using the local Whittle estimator. Empirical results suggest that US, Canadian and Singapore dollar are amongst the most efficient currencies, while Japanese yen and Swedish krona are amongst the most inefficient.Made available in DSpace on 2016-10-10T03:52:37Z (GMT). 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dc.title.pt_BR.fl_str_mv Assessing inefficiency in euro bilateral exchange rates
title Assessing inefficiency in euro bilateral exchange rates
spellingShingle Assessing inefficiency in euro bilateral exchange rates
Tabak, Benjamin Miranda
Euro bilateral exchange rates
Hurst exponents
Tsallis q entropic index
Long-range dependence
title_short Assessing inefficiency in euro bilateral exchange rates
title_full Assessing inefficiency in euro bilateral exchange rates
title_fullStr Assessing inefficiency in euro bilateral exchange rates
title_full_unstemmed Assessing inefficiency in euro bilateral exchange rates
title_sort Assessing inefficiency in euro bilateral exchange rates
author Tabak, Benjamin Miranda
author_facet Tabak, Benjamin Miranda
Cajueiro, Daniel Oliveira
author_role author
author2 Cajueiro, Daniel Oliveira
author2_role author
dc.contributor.author.fl_str_mv Tabak, Benjamin Miranda
Cajueiro, Daniel Oliveira
dc.subject.por.fl_str_mv Euro bilateral exchange rates
Hurst exponents
Tsallis q entropic index
Long-range dependence
topic Euro bilateral exchange rates
Hurst exponents
Tsallis q entropic index
Long-range dependence
dc.description.abstract.por.fl_txt_mv This paper assesses inefficiency for 10 euro bilateral exchange rates. We study the dynamics of these time series by estimating Tsallis q entropic index and Hurst exponents using the local Whittle estimator. Empirical results suggest that US, Canadian and Singapore dollar are amongst the most efficient currencies, while Japanese yen and Swedish krona are amongst the most inefficient.
dc.description.version.pt_BR.fl_txt_mv Sim
dc.description.status.pt_BR.fl_txt_mv Publicado
description This paper assesses inefficiency for 10 euro bilateral exchange rates. We study the dynamics of these time series by estimating Tsallis q entropic index and Hurst exponents using the local Whittle estimator. Empirical results suggest that US, Canadian and Singapore dollar are amongst the most efficient currencies, while Japanese yen and Swedish krona are amongst the most inefficient.
publishDate 2006
dc.date.issued.fl_str_mv 2006
dc.date.accessioned.fl_str_mv 2016-10-10T03:52:37Z
dc.date.available.fl_str_mv 2016-10-10T03:52:37Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
format article
dc.identifier.citation.fl_str_mv TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Assessing inefficiency in euro bilateral exchange rates. Physica A, v. 367, p. 319–327, 2006
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/621
https://repositorio.ucb.br:9443/jspui/handle/123456789/7775
identifier_str_mv TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Assessing inefficiency in euro bilateral exchange rates. Physica A, v. 367, p. 319–327, 2006
url http://twingo.ucb.br:8080/jspui/handle/10869/621
https://repositorio.ucb.br:9443/jspui/handle/123456789/7775
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv Texto
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