Long memory and volatility dynamics in the US dollar exchange rate
Guglielmo Maria Caporale; Luis Gil-Alana
| Year of publication: |
2012
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|---|---|
| Authors: | Caporale, Guglielmo Maria ; Gil-Alaña, Luis A. |
| Published in: |
Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society. - Camden, NJ : [Verlag nicht ermittelbar], ISSN 1096-1879, ZDB-ID 1418550-7. - Vol. 16.2012, 1/2, p. 105-136
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| Subject: | Fractional integration | Long memory | Exchange rates | Volatility | Volatilität | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis | US-Dollar | US dollar | USA | United States | Schätzung | Estimation | Japan | ARCH-Modell | ARCH model | ARMA-Modell | ARMA model | EU-Staaten | EU countries |