Assessing inefficiency in euro bilateral exchange rates
作者： Benjamin M. Tabak , Daniel O. Cajueiro
DOI: 10.1016/J.PHYSA.2005.12.007
关键词:
摘要: 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 local Whittle estimator. Empirical results suggest that US, Canadian Singapore dollar are amongst most efficient currencies, while Japanese yen Swedish krona inefficient.
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