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Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns : can non-linear dynamics help forecasting

Cecen, A. A. - In: International journal of forecasting 12 (1996) 4, pp. 465-473

Persistent link: https://www.econbiz.de/10001214771

Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns : further evidence

Cecen, A. A. - In: Economics letters 51 (1996) 3, pp. 323-329

Persistent link: https://www.econbiz.de/10001200985

High frequency Deutsche Mark- US dollar returns : FIGARCH representations and non linearities

Baillie, Richard; Cecen, Aydin A.; Han, Young-wook - In: Multinational finance journal : MF ; quarterly … 4 (2000) 3/4, pp. 247-267

Persistent link: https://www.econbiz.de/10001636386

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