Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/5062
Title: | Long memory and volatility dynamics in the US Dollar exchange rate |
Authors: | Caporale, GM Gil-Alana, LA |
Keywords: | Fractional integration;Long memory;Exchange rates;Volatility |
Issue Date: | 2010 |
Publisher: | Brunel University |
Citation: | Economics and Finance Working Paper, Brunel University, 10-03 |
Abstract: | 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 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-à-vis the Euro and the Japanese Yen respectively. |
URI: | http://bura.brunel.ac.uk/handle/2438/5062 |
Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
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1003[1].pdf | 442.88 kB | Adobe PDF | View/Open |
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