Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Guglielmo Maria Caporale; Luis A. Gil-Alana
| Year of publication: |
2013
|
|---|---|
| Authors: | Caporale, Guglielmo Maria ; Gil-Alaña, Luis A. |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 29.2013, p. 1-9
|
| Subject: | High frequency data | Long memory | Volatility persistence | Structural breaks | Volatilität | Volatility | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | USA | United States | US-Dollar | US dollar | Schätzung | Estimation | ARCH-Modell | ARCH model | Devisenmarkt | Foreign exchange market | Schätztheorie | Estimation theory | Großbritannien | United Kingdom | Kointegration | Cointegration | Pfund Sterling | Pound Sterling |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010244148