Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates
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DOI: 10.1007/s11079-022-09686-2
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More about this item
Keywords
Exchange rate; Volatility; Fractional integration; Long memory; Level shifts; Structural breaks;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
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