-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root … conditional heteroskedasticity). The paper explores the influence of time-varying volatility on fractionally integrated processes …. Concretely, we discuss how to model long memory in the presence of time-varying volatility, and analyze the effects of such …

standard information criteria, volatility persistence and the log likelihood statistic, showed that results improved with … of volatility breaks reduces the level of persistence in most of the models. The study recommends the incorporation of …This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to …

We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary … invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we … show by Monte Carlo methods that the tapered periodogram is quite robust against these trends and thus provides a good …

We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The …

We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the …

-a-vis four other currencies. The impact of exogenous variables in modelling volatility is considered using both the GARCH (1 … indicate that the majority of the parameters are significant and that volatility is quite persistent. Furthermore, the results …