| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 977432 | Physica A: Statistical Mechanics and its Applications | 2006 | 9 Pages |
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
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Benjamin M. Tabak, Daniel O. Cajueiro,