Testing for Long-memory and Chaos in the Returns of Currency Exchange-traded Notes (ETNs)

The study uses autoregressive fractionally integrated moving average - fractionally integrated generalized autoregressive conditional heteroskedasticity (ARFIMA-FIGARCH) models and chaos effects to determine nonlinearity properties present on currency ETN returns. The results find that the volatilit...

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Veröffentlicht in:	Journal of applied finance and banking 2017-07, Vol.7 (4), p.15
Hauptverfasser:	Diaz, John Francis, Chen, Jo-Hui
Format:	Artikel
Sprache:	eng
Schlagworte:	American dollar Chaos theory Currency Economic models Efficient markets Financial instruments Foreign exchange markets Foreign exchange rates Futures Hypotheses Investments Prices Stochastic models Stock exchanges Studies Volatility
Online-Zugang:	Volltext
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