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Dynamical volatilities for yen–dollar exchange rates

✍ Scribed by Seong-Min Yoon; J.S. Choi; C. Christopher Lee; Myung-Kul Yum; Kyungsik Kim

Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
174 KB
Volume
359
Category
Article
ISSN
0378-4371

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The conditional heteroscedasticity of the yen–dollar exchange rate
✍ Y. K. Tse 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 108 KB 👁 1 views

This paper examines the conditional heteroscedasticity of the yen±dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional heteroscedasticity model to a process that is fractionally integrated. It is found that, unlike the equity markets, the apprecia