IDEAS home Printed from https://ideas.repec.org/r/eee/empfin/v11y2004i5p629-658.html
   My bibliography  Save this item

Structural change and long-range dependence in volatility of exchange rates: either, neither or both?

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2016. "Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies," Risks, MDPI, vol. 4(1), pages 1-14, March.
  2. Claudio Morana & Fabio Cesare Bagliano, 2007. "Inflation and monetary dynamics in the USA: a quantity-theory approach," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 229-244.
  3. Claudio Morana & Andrea Beltratti, 2006. "Structural breaks and common factors in the volatility of the Fama-French factor portfolios," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1059-1073.
  4. Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: a fractionally integrated SETAR model," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 519-526.
  5. Xu, Jiawen & Perron, Pierre, 2014. "Forecasting return volatility: Level shifts with varying jump probability and mean reversion," International Journal of Forecasting, Elsevier, vol. 30(3), pages 449-463.
  6. Shi, Yanlin & Ho, Kin-Yip, 2015. "Modeling high-frequency volatility with three-state FIGARCH models," Economic Modelling, Elsevier, vol. 51(C), pages 473-483.
  7. Adnen Ben Nasr & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model," Applied Financial Economics, Taylor & Francis Journals, vol. 24(14), pages 993-1004, July.
  8. David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
  9. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," JRFM, MDPI, vol. 7(2), pages 1-30, June.
  10. Yanlin Shi & Yang Yang, 2018. "Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model," Risks, MDPI, vol. 6(2), pages 1-28, March.
  11. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
  12. Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018. "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(1), pages 1-25, March.
  13. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
  14. Lu, Yang K. & Perron, Pierre, 2010. "Modeling and forecasting stock return volatility using a random level shift model," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 138-156, January.
  15. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 151-177.
  16. Gabriel Rodríguez & Junior A. Ojeda Cunya & José Carlos Gonzáles Tanaka, 2019. "An empirical note about estimation and forecasting Latin American Forex returns volatility: the role of long memory and random level shifts components," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 18(2), pages 107-123, June.
  17. George Kapetanios & Elias Tzavalis, 2006. "Stochastic Volatility Driven by Large Shocks," Working Papers 568, Queen Mary University of London, School of Economics and Finance.
  18. Jamdee, Sutthisit & Los, Cornelis A., 2007. "Long memory options: LM evidence and simulations," Research in International Business and Finance, Elsevier, vol. 21(2), pages 260-280, June.
  19. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
  20. Aouad Hadjer, Soumia & Taouli, Mustapha Kamel & Benbouziane, Mohamed, 2012. "Modélisation du Comportement du Taux de Change du Dinar Algérien: Une Investigation Empirique par la Méthode ARFIMA [Modeling of the Algerian Dinar Exchange Rate: An empirical investigation using t," MPRA Paper 38605, University Library of Munich, Germany.
  21. Ye Li & Pierre Perron & Jiawen Xu, 2017. "Modelling exchange rate volatility with random level shifts," Applied Economics, Taylor & Francis Journals, vol. 49(26), pages 2579-2589, June.
  22. Ivelina Pavlova & Jang Hyung Cho & A.M. Parhizgari & William G. Hardin, 2014. "Long memory in REIT volatility and changes in the unconditional mean: a modified FIGARCH approach," Journal of Property Research, Taylor & Francis Journals, vol. 31(4), pages 315-332, December.
  23. Belkhouja, Mustapha & Boutahary, Mohamed, 2011. "Modeling volatility with time-varying FIGARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1106-1116, May.
  24. Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, vol. 25(2), pages 304-327.
  25. Carlos P. Barros & Luis A. Gil-Alana & Zhongfei Chen, 2016. "Exchange rate persistence of the Chinese yuan against the US dollar in the NDF market," Empirical Economics, Springer, vol. 51(4), pages 1399-1414, December.
  26. Cizek, P. & Haerdle, W. & Spokoiny, V., 2007. "Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models," Other publications TiSEM a797e4a8-12cf-4ac5-9fae-b, Tilburg University, School of Economics and Management.
  27. Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 594-616.
  28. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(3), pages 399-430, August.
  29. Gil-Alana, Luis A. & Carcel, Hector, 2020. "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  30. Grossmann, Axel & Orlov, Alexei G., 2012. "Exchange rate misalignments in frequency domain," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 185-199.
  31. Nasr, Adnen Ben & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2016. "Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 559-571.
  32. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
  33. Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Menla Ali, Faek & Karoglou, Michail & Yfanti, Stavroula, 2014. "Modelling stock volatilities during financial crises: A time varying coefficient approach," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 113-128.
  34. Guglielmo Maria Caporale & Luis Gil-Alana, 2012. "Long Memory and Volatility Dynamics in the US Dollar Exchange Rate," Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 105-136, March - J.
  35. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2015. "Shifts in volatility driven by large stock market shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 130-147.
  36. Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, University Library of Munich, Germany.
  37. Cizek, P., 2010. "Modelling Conditional Heteroscedasticity in Nonstationary Series," Discussion Paper 2010-84, Tilburg University, Center for Economic Research.
  38. Chatzikonstanti, Vasiliki & Venetis, Ioannis A., 2015. "Long memory in log-range series: Do structural breaks matter?," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 104-113.
  39. Veiga, Helena, 2006. "A two factor long memory stochastic volatility model," DES - Working Papers. Statistics and Econometrics. WS ws061303, Universidad Carlos III de Madrid. Departamento de Estadística.
  40. Morana, Claudio, 2009. "On the macroeconomic causes of exchange rate volatility," International Journal of Forecasting, Elsevier, vol. 25(2), pages 328-350.
  41. Giammarino, Flavia & Barrieu, Pauline, 2009. "A semiparametric model for the systematic factors of portfolio credit risk premia," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 655-670, September.
  42. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
  43. Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.
  44. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
  45. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, September.
  46. repec:hum:wpaper:sfb649dp2008-002 is not listed on IDEAS
  47. Rehim Kilic, 2011. "A conditional variance tale from an emerging economy's freely floating exchange rate," Applied Economics, Taylor & Francis Journals, vol. 43(19), pages 2465-2480.
  48. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
  49. repec:cte:wsrepe:ws131718 is not listed on IDEAS
  50. Bentes, Sónia R., 2014. "Measuring persistence in stock market volatility using the FIGARCH approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 408(C), pages 190-197.
  51. Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  52. Eric Hillebrand & Marcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
  53. Chen, Wei-Peng & Choudhry, Taufiq & Wu, Chih-Chiang, 2013. "The extreme value in crude oil and US dollar markets," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 191-210.
  54. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.