Kumar, Dilip - In: Physica A: Statistical Mechanics and its Applications 396 (2014) C, pp. 134-148
Using high frequency data, this paper examines the long memory property in the unconditional and conditional volatility of the USD/INR exchange rate at different time scales using the Local Whittle (LW), the Exact Local Whittle (ELW) and the FIAPARCH models. Results indicate that the long memory...
