Showing 1 - 10 of 260
Persistent link: https://www.econbiz.de/10003208246
Persistent link: https://www.econbiz.de/10003171746
)identifying restrictions. The estimation results provide some evidence of contagion, in particular from Japan (the major nternational lender in …
Persistent link: https://www.econbiz.de/10014088850
Persistent link: https://www.econbiz.de/10003410801
Persistent link: https://www.econbiz.de/10003816554
Persistent link: https://www.econbiz.de/10012803683
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
This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...
Persistent link: https://www.econbiz.de/10003974563
Persistent link: https://www.econbiz.de/10003979849
Persistent link: https://www.econbiz.de/10003963286