Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009
to be captured. The Heterogeneous Autoregressive (HAR) model is used to capture long memory properties in exchange rates … conditional volatility estimates are not sensitive to the long memory nature of the conditional mean specifications. The QMLE for … and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long …