Tsui, Albert K.; Ho, Kin-Yip - In: Journal of Applied Econometrics 19 (2004) 5, pp. 637-642
A recent article (Tse, 1998) published in this journal analysed the conditional heteroscedasticity of the yen-dollar exchange rate based on the fractionally integrated asymmetric power ARCH model. In this paper, we present replication results using Tse's (1998) yen-dollar series. We also examine...