Estimating Long Memory in the Mark-Dollar Exchange Rate With High Frequency Data

We estimate FIGARCH models with data sets of daily and thirty minute returns on the Deutsche mark-US dollar exchange rate. The results point to the importance of accurately modelling the persistence properties of volatility in terms of structural breaks and long memory, and controlling for stochastic intra-daily repetitive patterns

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Year of publication:	[2013]
Authors:	Morana, Claudio
Other Persons:	Beltratti, Andrea (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Applied Financial Economics Letters, pp. 361-364, 2006 Volltext nicht verfügbar
Classification:	C22 - Time-Series Models ; F31 - Foreign Exchange ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012753963