This paper examines the conditional heteroscedasticity of the yenΒ±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
Estimating unknown join points: Determination of the yen-dollar exchange rate
β Scribed by Hiroki Tsurumi; Chyong Lin Chen
- Publisher
- Springer
- Year
- 1994
- Tongue
- English
- Weight
- 614 KB
- Volume
- 1
- Category
- Article
- ISSN
- 1573-6946
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