- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … equity financing cost. -- exchange rate exposure ; asymmetric currency exposure ; financial crises ; asymmetric volatility …

stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in … returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage …

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

persistence: in the first one, associated to low-volatility regime, hedge fund returns are a stationary long memory process … whereas in the second one, associated to high-volatility regime, returns exhibit higher parameter of fractional integration …. More precisely, in high volatility regime the process tends to be non-stationary and exhibits a mean-reverting behavior in …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …