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Type: Artigo
Title: Assessing inefficiency in euro bilateral exchange rates
Authors: Tabak, Benjamin Miranda
Cajueiro, Daniel Oliveira
Abstract: 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.
Keywords: Euro bilateral exchange rates
Hurst exponents
Tsallis q entropic index
Long-range dependence
Citation: TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Assessing inefficiency in euro bilateral exchange rates. Physica A, v. 367, p. 319–327, 2006
Access Type: Acesso Aberto
Document date: 2006
Appears in Collections:PPG - Revistas e Artigos Científicos

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