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Implicit bands in the yen/dollar exchange rate

✍ Scribed by Ledesma-Rodríguez, Francisco; Navarro-Ibáñez, Manuel; Pérez-Rodríguez, Jorge; Sosvilla-Rivero, Simón


Book ID
120634381
Publisher
Taylor and Francis Group
Year
2011
Tongue
English
Weight
260 KB
Volume
43
Category
Article
ISSN
0003-6846

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The conditional heteroscedasticity of th
✍ 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