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Abstract:
The present work consists of explaining how to study stochastic processes and to apply them to different economic and financial series. In this context, we chose the case of exchange rates by comparing the euro to the three major international currencies (US dollar, pound sterling and Japanese yen). Emphasis is placed on the existence or not of the autocorrelation phenomenon of the three series of exchange, over the period 2009-2011, proceeding in a first case, to tests of white noise (Box-Pierece [1970] and Ljung-Box [1978]) to the initial raw series, and in a second case, to the same series calculated as a first difference. The results are very different. The choice of the period is dictated by the context of high volatility in the markets that followed the 2008 financial crisis.
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