Tunay, K. Batu - In: Journal of BRSA Banking and Financial Markets 2 (2008) 2, pp. 77-112
This study aims to identify and analyze the effects of Turkish Central Bank's interventions over currency rate volatility. US Dolar and Euro Returns of Turkish Lira between 04.01.1999 and 24.09.2008 are modelled in the study. Econometric methods used are ARFIMA-GARCH and ARFIMA-FIGARCH models....