Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen … particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous … dollar rate vis-à-vis the Euro and the Japanese Yen respectively. -- Fractional integration ; long memory ; exchange rates …