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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, LA | - |
dc.date.accessioned | 2011-04-18T11:32:02Z | - |
dc.date.available | 2011-04-18T11:32:02Z | - |
dc.date.issued | 2010 | - |
dc.identifier.citation | Economics and Finance Working Paper, Brunel University, 10-03 | en_US |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/5062 | - |
dc.description.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. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Brunel University | en_US |
dc.subject | Fractional integration | en_US |
dc.subject | Long memory | en_US |
dc.subject | Exchange rates | en_US |
dc.subject | Volatility | en_US |
dc.title | Long memory and volatility dynamics in the US Dollar exchange rate | en_US |
dc.type | Working Paper | en_US |
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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