Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
to be captured. The Heterogeneous Autoregressive (HAR) model is used to capture long memory properties in exchange rates … memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … conditional volatility estimates are not sensitive to the long memory nature of the conditional mean specifications. The QMLE for …