Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Trani, … - 2021
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to … pound’s implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX, namely the euro, the US dollar and the … Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose …