Long Memory in Foreign Exchange Rates Revisited
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- repec:hal:journl:peer-00815563 is not listed on IDEAS
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013.
"Econometric modeling of exchange rate volatility and jumps,"
Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427
Edward Elgar Publishing.
- 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.
- Leonardo Souza & Jeremy Smith & Reinaldo Souza, 2006.
"Convex combinations of long memory estimates from different sampling rates,"
Springer, vol. 21(3), pages 399-413, December.
- Souza, Leonardo Rocha & Smith, Jeremy & Souza, Reinaldo Castro de, 2003. "Convex combinations of long memory estimates from different sampling rates," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 489, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- 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.
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