Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates
Year of publication: |
2004
|
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Authors: | Baillie, Richard ; Cecen, A. A. ; Erkal, Cahit ; Han, Young-Wook |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 14.2004, 5, p. 401-418
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Subject: | Wechselkurs | Exchange rate | Volatilität | Volatility | ARCH-Modell | ARCH model | USA | United States | Großbritannien | United Kingdom | Deutschland | Germany | Schweiz | Switzerland | Korrelation | Correlation | 1986 | 1996 |
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