This study examines dynamic linkage between stock indices (e.g. composite and sectoral indices on the Jakarta Stock Exchange) and Rupiah's exchange rate at three different time periods. Granger causality testing technique is used, based on VAR model id data have no integration relationship and...

In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...