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High Frequency Deutsche Mark-US Dollar Returns : FIGARCH Representations and Non Linearities

Baillie, Richard - 2016

This article considers the use of the long memory volatility process, FIGARCH, in representing Deutschemark-US dollar spot exchange rate returns for both high and low frequency returns data. The FIGARCH model is found to be the preferred specification for both high frequency and daily returns...

Persistent link: https://www.econbiz.de/10013004295

The forward premium anomaly is not as bad as you think

Baillie, Richard; Bollerslev, Tim - In: Journal of international money and finance 19 (2000) 4, pp. 471-488

Persistent link: https://www.econbiz.de/10001496571

Post-louvre intervention : did target zones stabilize the dollar?

Baillie, Richard; Humpage, Owen F. - 1992

Persistent link: https://www.econbiz.de/10000833686

Assessing Euro crises from a time varying international CAPM approach

Baillie, Richard; Cho, Dooyeon - In: Journal of empirical finance 39 (2016), pp. 197-208

Persistent link: https://www.econbiz.de/10011663843

Long memory volatility dependency, temporal aggregation and the Korean currency crisis : the role of a high frequency Korean won (KRW)-US dollar ($) exchange rate

Han, Young Wook - In: Japan and the world economy : international journal of … 17 (2005) 1, pp. 97-109

Persistent link: https://www.econbiz.de/10002533040

Long memory property and central bank intervention during the currency crisis in the daily Korean won-US dollar exchange rates

Han, Young Wook - In: The journal of the Korean economy 4 (2003) 1, pp. 93-116

Persistent link: https://www.econbiz.de/10009763045

The effects of US macroeconomic surprises on the intraday movements of foreign exchange rates : cases of USD-EUR and USD-JPY exchange rates

Han, Young Wook - In: International economic journal 24 (2010) 3, pp. 375-396

Persistent link: https://www.econbiz.de/10008822755

Intraday effects of macroeconomic shocks on the US Dollar-Euro exchange rates

Han, Young Wook - In: Japan and the world economy : international journal of … 20 (2008) 4, pp. 585-600

Persistent link: https://www.econbiz.de/10003778517

Poisson jumps and long memory volatility process in high frequency European exchange rates

Han, Young Wook - In: Seoul journal of economics 20 (2007) 2, pp. 202-222

Persistent link: https://www.econbiz.de/10003499986

High frequency perspective on jump process, long memory property and temporal aggregation : case of $-AUD exchange rates

Han, Young Wook - In: Japan and the world economy : international journal of … 19 (2007) 2, pp. 248-262

Persistent link: https://www.econbiz.de/10003555187

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