The conditional heteroscedasticity of th
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Y. K. Tse
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Article
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1998
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John Wiley and Sons
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English
β 108 KB
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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