. -- High frequency data ; long memory ; volatility persistence ; structural breaks …

data ; long memory ; volatility persistence ; structural breaks …

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the … latter period. Return co-movements and volatility spillovers show large variability though, and are positively associated …

Heteroscedasticity) volatility dynamics. DCS models are robust to extreme observations, whereas standard financial time series models are … observations, stochastic seasonality with dynamic amplitude, and volatility dynamics. These seasonality dynamics of the GTQ/USD are …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous … ; volatility …

volatility property and the structural break appear to be the common intrigue features of the exchange rates in the two periods … by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be …-FIGARCH model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the …