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Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility

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  • David McMillan
  • Alan Speight

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    File URL: http://hdl.handle.net/10.1007/s10690-006-9023-8
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    Bibliographic Info

    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 12 (2005)
    Issue (Month): 3 (September)
    Pages: 199-226

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    Handle: RePEc:kap:apfinm:v:12:y:2005:i:3:p:199-226

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    Web page: http://springerlink.metapress.com/link.asp?id=102851

    Related research

    Keywords: GARCH; Intraday periodicity; Long-run volatility; Temporal aggregation; C22; G13;

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