Author

  • Teresa Aparicio

    • University of Zaragoza, Spain
    • Spain

  • Eduardo F. Pozo

    • University of Zaragoza, Spain
    • Spain

  • Dulce Saura

    • University of Zaragoza, Spain
    • Spain

Abstract

In this paper, we apply a methodology based on the “Recurrence Quantification Analysis” to four daily exchange rate returns series. Our aim is to discover if they exhibit some kind of underlying structure, and to find an economic explanation for the behavior of exchange rates. Our results show the existence of structure in all series that, in certain cases, can be identified as non-linear deterministic. We also conclude that, in general, the underlying structure tends to disappear in the most recent periods.

Keywords

References

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How to Cite

Aparicio, T., Pozo, E. F., & Saura, D. (2013). Do Exchange Rate Series Present General Dependence? Some Results using Recurrence Quantification Analysis. Journal of Economics and Behavioral Studies, 5(10), 678-686. https://doi.org/10.22610/jebs.v5i10.441

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Research Paper

Published in

Vol. 5 No. 10 (2013) Technology, Trade & Development Policy View issue contents

Published

2013-10-20

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