Structural change and long memory in volatility: new evidence from daily exchange rates
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- Michel Beine & Sebastien Laurent & Christelle Lecourt, 2002.
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- Michel Beine & Sébastien Laurent & Christelle Lecourt, 2002. "Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates," ULB Institutional Repository 2013/10443, ULB -- Universite Libre de Bruxelles.
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"Occasional Structural Breaks and Long Memory,"
University of California at San Diego, Economics Working Paper Series
qt4d60t4jh, Department of Economics, UC San Diego.
- Michel Beine & Sébastien Laurent, 2000. "La persistance des chocs de volatilité sur le marché des changes s'est-elle modifiée depuis le début des années quatre-vingts ?," ULB Institutional Repository 2013/10453, ULB -- Universite Libre de Bruxelles.
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- Bollerslev, Tim & Ole Mikkelsen, Hans, 1996.
"Modeling and pricing long memory in stock market volatility,"
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- Tom Doan, . "RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models," Statistical Software Components RTZ00173, Boston College Department of Economics.
- Bollen, Nicolas P. B. & Gray, Stephen F. & Whaley, Robert E., 2000. "Regime switching in foreign exchange rates: Evidence from currency option prices," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 239-276.
- Garcia, Rene, 1998.
"Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-88, August.
- René Garcia, 1995. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," CIRANO Working Papers 95s-07, CIRANO.
- Francis X. Diebold & Joon-Haeng Lee & Gretchen C. Weinbach, 1993. "Regime switching with time-varying transition probabilities," Working Papers 93-12, Federal Reserve Bank of Philadelphia.
- Kim, Dongcheol & Kon, Stanley J., 1999. "Structural change and time dependence in models of stock returns," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 283-308, September.
- Hamilton, James D. & Susmel, Raul, 1994.
"Autoregressive conditional heteroskedasticity and changes in regime,"
Journal of Econometrics,
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- Tom Doan, . "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 74(1), pages 3-30, September.
- Tom Doan, . "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
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