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- W3124213987 abstract "This paper focuses on nominal exchange rates, specifically the US dollar rate vis-a-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 given their importance for FOREX dealers. Compared with previous studies using a standard fractional integration framework such as Granger and Ding (1996), we estimate a more general model which allows for dependence not only at the zero but also at other frequencies. The results show differences in the behaviour of the two series: a long-memory cyclical model and a standard I(d) model seem to be the most appropriate for the US dollar rate vis-a-vis the Euro and the Japanese Yen respectively." @default.
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- W3124213987 date "2010-01-01" @default.
- W3124213987 modified "2023-10-18" @default.
- W3124213987 title "Long memory and volatility dynamics in the US Dollar exchange rate" @default.
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