Kumar, Anoop S. - In: Economic Annals 59 (2014) 203, pp. 75-75
This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013. In the first part of the analysis the presence of long-term dependence is...