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Essai de Modélisation du comportement du taux de change du dinar algérien 1999-2007 par la méthode ARFIMA
| Content Provider | Semantic Scholar |
|---|---|
| Author | Aouad, Hadjer-Soumia |
| Copyright Year | 2011 |
| Abstract | This research captures a thorny subject and assiduously renew ̳‟the determination of exchange rates,'' some answers first theoretical are proposed from a discursive reading of a relevant literature, we then proposed to study this issue for the case of Algeria where we try to model the behavior of the exchange rate of the dinar against major currencies in the foreign exchange market, the U.S. dollar, euro, pound sterling and Japanese yen using a series of daily quotations on period (2000-2007) by ARFIMA models characterized by their ability to model long term behavior as short term ,using the method of maximum likelihood, the study reveals the existence of long memory phenomenon for two sets of the four studied, finally, in the wake of Meese and Rogoff [1983], Sarno and Taylor [2002], Nelson, West and Kenneth [2007], Mignon and Sardic [1999] and many others we consider the beating of the random walk in forecasting exchange rate as a major criterion for accepting an exchange rates model. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://dspace.univ-tlemcen.dz/bitstream/112/726/1/AOUAD-HADJER-SOUMIA.Mag.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
