Similar Search Results

High frequency Deutsche Mark- US dollar returns : FIGARCH representations and non linearities

Baillie, Richard; Cecen, Aydin A.; Han, Young-wook - In: Multinational finance journal : MF ; quarterly … 4 (2000) 3/4, pp. 247-267

Persistent link: https://www.econbiz.de/10001636386

High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities

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...

Persistent link: https://www.econbiz.de/10010937148

High frequency Deutsche Mark- US dollar returns : FIGARCH representations and non linearities

Baillie, Richard T.; Cecen, Aydin A.; Han, Young-wook - In: Multinational finance journal : MF ; quarterly … 4 (2000) 3/4, pp. 247-267

Persistent link: https://www.econbiz.de/10009879228

Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates

Baillie, Richard T.; Cecen, Aydin A.; Erkal, Cahit; … - In: Journal of international financial markets, … 14 (2004) 5, pp. 401-418

Persistent link: https://www.econbiz.de/10007101211

Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates

Baillie, Richard T.; Cecen, Aydin A.; Erkal, Cahit; … - In: Journal of International Financial Markets, … 14 (2004) 5, pp. 401-418

Persistent link: https://www.econbiz.de/10005403437