Hauser, Michael, Kunst, Robert M., Reschenhofer, Erhard. 1994. Modelling exchange rates: long-run dependence versus conditional heteroscedasticity. Applied Financial Economics 4 233-239.
BibTeX
Abstract
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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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 |
Associations
- People
- Hauser, Michael (Details)
- External
- Kunst, Robert M. (Universität Wien, Austria)
- Reschenhofer, Erhard (Universität Wien, Austria)
- Organization
- Institute for Statistics and Mathematics IN (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 5311 Public finance (Details)
- 5323 Econometrics (Details)