Journal of Time Series Analysis  文献
对Foreign Exchange数据的平稳性和独立性进行检验，值得一看



Abstract：
Foreign exchange rate plays an important role in international finance. This article examines unit roots and the
long range dependence of 23 foreign exchange rates using Robinson’s (1994) test, which is one of the most
efficient tests when testing fractional orders of seasonal/cyclical long memory processes. Monte Carlo simulations
are carried out to explore the accuracy of the test before implementing the empirical applications.