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Long Memory And Asymmetric Effect In East Asian Foreign Exchange Markets

Author

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  • RIADH EL ABED
  • SAMIR MAKTOUF

Abstract

The Analysis of asymmetry and long memory of exchange rate in the context of international investments has been well researched in the literature in last few years. In this paper, we study the asymmetric effect and the long rang dependence of some East Asian exchange rate expressed in US dollar. We adopt the univariate FIAPARCH model, during the period spanning from January 01, 1999 until September 30, 2015. The empirical results suggest asymmetric response in foreign exchange market returns and a high persistence.

Suggested Citation

  • Riadh El Abed & Samir Maktouf, 2016. "Long Memory And Asymmetric Effect In East Asian Foreign Exchange Markets," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, vol. 8(2 (July)), pages 294-306.
    • Handle: RePEc:shc:jaresh:v:8:y:2016:i:2:p:294-306
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    Cited by:

    1. Wajdi Moussa & Azza Bejaoui & Nidhal Mgadmi, 2021. "Asymmetric Effect and Dynamic Relationships Between Stock Prices and Exchange Rates Volatility," Annals of Data Science, Springer, vol. 8(4), pages 837-859, December.

    More about this item

    Keywords

    FIAPARCH; Asymmetries; Long memory; East Asian exchange rates.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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