True or spurious long memory in European non-EMU currencies
Thomas Walther, Tony Klein, Hien Pham Thu, Krzysztof Piontek
| Year of publication: |
April 2017
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|---|---|
| Authors: | Walther, Thomas ; Klein, Tony ; Thu, Hien Pham ; Piontek, Krzysztof |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 40.2017, p. 217-230
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| Subject: | Conditional variance | Foreign exchange | GARCH | Spurious long memory | Value-at-Risk | Zeitreihenanalyse | Time series analysis | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | EU-Staaten | EU countries |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2017.01.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011912762