. -- High frequency data ; long memory ; volatility persistence ; structural breaks …

In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility … of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR …' realized volatility. From the Bai – Perron test, we found structural breakpoints that match significant events in financial …

(the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we …

's dynamic properties may lead to misestimation of the intraday spot volatility. …

evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …

estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction … significant events in GARCH models in volatility estimation of key asset prices. …This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to …

proposes an estimate of the neutral band based on the one-step-ahead density forecast obtained from a stochastic volatility … stochastic volatility models have the best fit and forecasting performance, hence superior neutral band estimates. …