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Persistent link: https://www.econbiz.de/10005109040
We explore the possibility of structural breaks in the daily realized volatility of the Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange rates with observed long memory behavior. We find that structural breaks in the mean can partly explain the persistence of realized...
Persistent link: https://www.econbiz.de/10008488451
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