Beine, Michel; Laurent, Sebastien; Lecourt, Christelle - In: Applied Financial Economics 12 (2002) 8, pp. 589-600
This paper, estimates FIGARCH models introduced by Baillie et al. (1996a) for the four major daily exchange rates against the USD (DEM, FRF, YEN and the GBP). The former contributions are extended by accounting for the observed kurtosis through a Student- t based maximum likelihood estimation...
