Long memory and fractional integration in high frequency data on the US Dollar / British Pound spot exchange rate
Year of publication: |
2013
|
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Authors: | Caporale, Guglielmo Maria ; Gil-Alana, Luis A. |
Publisher: |
Berlin : Deutsches Institut für Wirtschaftsforschung (DIW) |
Subject: | high frequency data | long memory | volatility persistence | structural breaks |
Series: | DIW Discussion Papers ; 1294 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 743997689 [GVK] hdl:10419/72627 [Handle] RePEc:diw:diwwpp:dp1294 [RePEc] |
Classification: | C22 - Time-Series Models ; F31 - Foreign Exchange |
Source: |
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