Baillie, Richard T.; Cecen, Aydin A.; Han, Young-Wook - In: Multinational Finance Journal 4 (2000) 3-4, pp. 247-267
This article considers the use of the long memory volatility process, FIGARCH, in representing Deutschemark - US dollar spot exchange rate returns for both high and low frequency returns data. The FIGARCH model is found to be the preferred specification for both high frequency and daily returns...