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Nonlinear dynamics in deviations from the law of one price : a broad-based empirical study

Sarno, Lucio; Taylor, Mark P.; Chowdhury, Ibrahim - In: Journal of international money and finance 23 (2004) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10001896351

Non-linear dynamics in deviations from the law of one price : a broad-based empirical study

Sarno, Lucio - 2002

Persistent link: https://www.econbiz.de/10013423980

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen … dollar rate vis-à-vis the Euro and the Japanese Yen respectively. -- Fractional integration ; long memory ; exchange rates …

Persistent link: https://www.econbiz.de/10003931070

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

Persistent link: https://www.econbiz.de/10003963286

Long memory and fractional integration in high frequency data on the US dollar British pound spot exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013

Persistent link: https://www.econbiz.de/10009731952

Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10009735715