Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390
by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be … upward biased and overstated because of the structural breaks in the exchange markets. Thus this paper applies the Adaptive-FIGARCH … model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the …