Quotation Hauser, Michael, Kunst, Robert M., Reschenhofer, Erhard. 1994. Modelling exchange rates: long-run dependence versus conditional heteroscedasticity. Applied Financial Economics 4 233-239.




Indications for two different features not captured by low-order linear time-series models can be found in day-to-day changes of exchange rates: long memory and conditional heteroscedasticity. These characteristics have inspired the development of ARFIMA and GARCH models. By means of Monte Carlo simulation, it is demonstrated that either of the two features stands a non-negligible chance of being detected spuriously in the presence of the other. A table of explicit empirical small-sample quantiles for identification of long-memory structures in the presence of GARCH effects is included.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Applied Financial Economics
Language English
Title Modelling exchange rates: long-run dependence versus conditional heteroscedasticity
Volume 4
Year 1994
Page from 233
Page to 239
Reviewed? Y
URL http://www.informaworld.com/smpp/content~content=a758526904&db=all


Hauser, Michael (Details)
Kunst, Robert M. (Universität Wien, Austria)
Reschenhofer, Erhard (Universität Wien, Austria)
Institute for Statistics and Mathematics IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
5311 Public finance (Details)
5323 Econometrics (Details)
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