Similar Search Results

Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013

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

Persistent link: https://www.econbiz.de/10009735715

Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International review of financial analysis 29 (2013), pp. 1-9

Persistent link: https://www.econbiz.de/10010244148

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10013082098

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

Persistent link: https://www.econbiz.de/10013082343

Volatility integration of crude oil, gold, and interest rates on the exchange rate : DCC GARCH and BEKK GARCH applications

Rastogi, Shailesh; Kanoujiya, Jagjeevan; Doifode, Adesh - In: Cogent business & management 11 (2024) 1, pp. 1-17

conditional volatility association of gold, crude oil and yield (or IR) on the ER (the price of US$ in Indian rupee). The daily … theories of market connectivity. The results are as expected (from the previous literature) for conditional volatility, whereas … findings regarding volatility spillover effects (VSE) and are surprising. The findings of the study imply the separation of …

Persistent link: https://www.econbiz.de/10014543455

Nob-linear GARCH models for highly persistent volatility

Lanne, Markku; Saikkonen, Pentti - In: The econometrics journal 8 (2005) 2, pp. 251-276

Persistent link: https://www.econbiz.de/10003018967

Nonlinear GARCH models for highly persistent volatility

Lanne, Markku; Saikkonen, Pentti - 2002

Persistent link: https://www.econbiz.de/10001668610

Quantitative comparisons on the intrinsic features of foreign exchange rates between the 1920s and the 2010s : case of the USD-GBP exchange rate

Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390

Persistent link: https://www.econbiz.de/10011556212

Quantitative comparisons on the intrinsic features of foreign exchange rates between the 1920s and the 2010s : case of the USD-GBP exchange rate

Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390

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 …

Persistent link: https://www.econbiz.de/10011765010

The time-varying causality between spot and futures crude oil prices : a regime switching approach

Balcilar, Mehmet; Gungor, Hasan; Hammoudeh, Shawkat - In: International review of economics & finance : IREF 40 (2015), pp. 51-71

Persistent link: https://www.econbiz.de/10011571896