Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates

This study considers the long memory and fractional integration in the range-based volatilities across 30 currencies against USD. Graphical analysis of the autocorrelation function at long lags and pole near zero frequencies in the periodogram suggests the existence of fractional integration. We app...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Open economies review 2023-09, Vol.34 (4), p.789-811
Hauptverfasser:	Afzal, Alia, Sibbertsen, Philipp
Format:	Artikel
Sprache:	eng
Schlagworte:	Development Economics Economic Policy Economics Economics and Finance European Integration Foreign exchange rates Inconsistency International Economics Macroeconomics/Monetary Economics//Financial Economics Memory Research Article Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!