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The Equilibrium Yen–Dollar Rate: 1976–91

✍ Scribed by Anthony De Carvalho

Book ID
108520835
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
237 KB
Volume
16
Category
Article
ISSN
1351-3958

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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