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Essays on the volatility of macroeconomic and financial time series

Yu, Wei-choun - 2006

Persistent link: https://www.econbiz.de/10003973905

Long memory and fractional integration in high frequency financial time series

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

data ; long memory ; volatility persistence ; structural breaks …

Persistent link: https://www.econbiz.de/10003974563

Long memory and fractional integration in high frequency financial time series

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

Persistent link: https://www.econbiz.de/10003979849

Long memory versus structural breaks in modeling and forecasting realized volatility

Choi, Kyongwook; Yu, Wei-choun; Zivot, Eric - In: Journal of international money and finance 29 (2010) 5, pp. 857-875

Persistent link: https://www.econbiz.de/10003989920

Structural breaks and GARCH models of exchange rate volatility

Rapach, David E.; Strauss, Jack - In: Journal of applied econometrics 23 (2008) 1, pp. 65-90

Persistent link: https://www.econbiz.de/10003682842

Long-memories and mean breaks in realized volatilities

Song, Hyejin; Shin, Dong-wan - In: Applied economics letters 22 (2015) 16/18, pp. 1273-1280

Persistent link: https://www.econbiz.de/10011380139

The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006

This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...

Persistent link: https://www.econbiz.de/10011343243