Long Memory in Foreign Exchange Rates Revisited
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Bibliographic InfoPaper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 1994,46.
Date of creation: 1994
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- Souza, Leonardo Rocha & Smith, Jeremy & Souza, Reinaldo Castro de, 2003.
"Convex Combinations of Long Memory Estimates from Different Sampling Rates,"
Economics Working Papers (Ensaios Economicos da EPGE)
489, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Leonardo Souza & Jeremy Smith & Reinaldo Souza, 2006. "Convex combinations of long memory estimates from different sampling rates," Computational Statistics, Springer, vol. 21(3), pages 399-413, December.
- Christelle Lecourt, 2000. "Dépendance de court et de long terme des rendements de taux de change," Économie et Prévision, Programme National Persée, vol. 146(5), pages 127-137.
- Uwe Hassler, 2011.
"Estimation of fractional integration under temporal aggregation,"
- Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, vol. 162(2), pages 240-247, June.
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
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