Similar Search Results

Deterministic and stochastic methods for estimation of intra-day seasonal components with high frequency data

Beltratti, Andrea; Morana, Claudio - In: Economic notes : economic review of Banca Monte dei … 30 (2001) 2, pp. 205-234

Persistent link: https://www.econbiz.de/10001603713

Structural breaks in the volatility of macroeconomic and financial data : the rule, not the exception

Beltratti, Andrea; Morana, Claudio - In: Assets, beliefs, and equilibria in economic dynamics : …, (pp. 555-578). 2004

Persistent link: https://www.econbiz.de/10001809552

Structural Change and Long Range Dependence in Volatility of Exchange Rates : Either, Neither or Both?

Morana, Claudio; Beltratti, Andrea - 2013

In this paper we test for the existence of long memory and structural breaks in the realized variance process for the DM/US$ and Yen/US$ exchange rates. While long memory is evident in the actual processes, a structural break analysis reveals that this feature is partially explained by...

Persistent link: https://www.econbiz.de/10014061985