Financial Engineering and the Japanese Markets

, Volume 1, Issue 2, pp 101–109 | Cite as

Testing for long-term memory in yen/dollar exchange rate



This paper examines evidence of long-term memory in the yen/dollar price change as well as in the daily estimate of volatility of the exchange rate series. The methodology used is due to Lo (1989) which is robust to the presence of heteroscedasticity and is applied to a ten year data set. The result shows no evidence of long-term memory in the price change series indicating efficient pricing by the market participants. The volatility series, however, shows evidence of long-term memory which may have implications for traders dealing with long lived assets.

Key words

Memory heteroscedasticity diffusion rescaled range fractal martingale 


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Copyright information

© Kluwer Academic Publishers 1994

Authors and Affiliations

  • R. Bhar
    • 1
  1. 1.School of Finance and EconomicsUniversity of TechnologySydneyAustralia

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