Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390
upward biased and overstated because of the structural breaks in the exchange markets. Thus this paper applies the Adaptive …-FIGARCH model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the … structural breaks in the exchange markets affect the long memory volatility property significantly in the two periods but the …