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Exchange rates, foreign currency exposure and sovereign risk
Bernoth, Kerstin; Herwartz, Helmut - In: Journal of international money and finance 117 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013284855
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Fractional integration of nominal exchange rates : evidence from CEECs in the light of EMU enlargement
Barros, Carlos Pestana; Gil-Alaña, Luis A.; Matousek, Roman - In: Review of international economics 19 (2011) 1, pp. 77-92
Persistent link: https://www.econbiz.de/10009127594
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The efficiency of the art market : evidence from variance ratio tests, linear and nonlinear fractional integration approaches
Aye, Goodness C.; Gil-Alaña, Luis A.; Gupta, Rangan; … - In: International review of economics & finance : IREF 51 (2017), pp. 283-294
Persistent link: https://www.econbiz.de/10011754449
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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016
. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory …
Persistent link: https://www.econbiz.de/10011483824
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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16
corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample …
Persistent link: https://www.econbiz.de/10011854876
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Multivariate volatility models
Fengler, Matthias R.; Herwartz, Helmut - 2001
Persistent link: https://www.econbiz.de/10001659915
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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...
Persistent link: https://www.econbiz.de/10003974563
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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
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003963286
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen … dollar rate vis-à-vis the Euro and the Japanese Yen respectively. -- Fractional integration ; long memory ; exchange rates …
Persistent link: https://www.econbiz.de/10003931070