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

Guglielmo Maria Caporale and Luis A. Gil-Alana

Year of publication:	2013
Authors:	Caporale, Guglielmo Maria ; Gil-Alaña, Luis A.
Publisher:	Uxbridge : Brunel Univ. West London, Brunel Business School
Subject:	High frequency data \| long memory \| volatility persistence \| structural breaks \| Volatilität \| Volatility \| Wechselkurs \| Exchange rate \| US-Dollar \| US dollar \| Zeitreihenanalyse \| Time series analysis \| Strukturbruch \| Structural break \| USA \| United States \| Schätzung \| Estimation \| Großbritannien \| United Kingdom \| Pfund Sterling \| Pound Sterling \| ARCH-Modell \| ARCH model \| Kointegration \| Cointegration

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