This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow a slowly varying...

This paper introduces a new long memory volatility process, denoted by adaptive FIGARCH, or A-FIGARCH , which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow the smooth...

This paper introduces a new long memory volatility process, denoted by Adaptive <i>FIGARCH</i>, or <i>A-FIGARCH</i>, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow a slowly varying...

Many previous analyses of inflation have used either long memory or nonlinear time series models. This paper suggests a simple adaptive modification of the basic ARFIMA model, which uses a flexible Fourier form to allow for a time varying intercept. Simulation evidence suggests that the model...

Research has generally failed to find reliable connections between official exchange-market interventions and exchange rates that are consistent with either a monetary or a portfolio-balance theory of exchange-rate determination. Recently economists have suggested that intervention might...

An investigation of whether the G-3 nations (Germany, Japan, and the U.S.) successfully maintained target zones following the G-7's February 1987 Louvre meeting. Using daily, official intervention data and simultaneous-equation techniques, the authors determine that the G-3 reacted in a manner...

Evidence that forward rates for foreign exchange are not unbiased forecasts of future spot rates suggests a time-varying risk premium. However, there is little evidence that the forecast error is related to fundamentals, although most investigations have lacked high-frequency data. In this...