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Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates

Baillie, Richard; Cecen, A. A.; Erkal, Cahit; Han, … - In: Journal of international financial markets, … 14 (2004) 5, pp. 401-418

Persistent link: https://www.econbiz.de/10002186598

Long memory models for daily and high frequency commodity futures returns

Baillie, Richard; Han, Young Wook; Myers, Robert J.; … - In: The journal of futures markets 27 (2007) 7, pp. 643-668

Persistent link: https://www.econbiz.de/10003493148

Long memory and FIGARCH models for daily and high frequency commodity prices

Baillie, Richard; Han, Young Wook; Myers, Robert J.; … - 2007

Persistent link: https://www.econbiz.de/10003740333

Long memory volatility, central bank intervention and uncovered interest rate parity in the 1920s exchange markets

Baillie, Richard; Han, Young Wook - In: The Korean economic review 35 (2019) 1, pp. 183-203

Persistent link: https://www.econbiz.de/10012217148

Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates

Baillie, Richard T.; Cecen, Aydin A.; Erkal, Cahit; … - In: Journal of International Financial Markets, … 14 (2004) 5, pp. 401-418

Persistent link: https://www.econbiz.de/10005403437

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

Baillie, Richard T.; Cecen, Aydin A.; Han, Young-Wook - In: Multinational Finance Journal 4 (2000) 3-4, pp. 247-267

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/10010937148