Long memory and volatility dynamics in the US dollar exchange rate
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and forecasting...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Centre for International Capital Markets, London Metropolitan University
2010
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| Subjects: | |
| Online Access: | https://repository.londonmet.ac.uk/412/1/CentreForInternationalCapitalMarketsDiscussionPapers_2010-03_p01-38.pdf |