Modeling Exchange Rates: Long-Run Dependence Versus Conditional Heteroscedasticity

Hauser, Michael A. and Kunst, Robert M. and Reschenhofer, Erhard (September 1992) Modeling Exchange Rates: Long-Run Dependence Versus Conditional Heteroscedasticity. Forschungsberichte / Research Memoranda 306

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Abstract or Table of Contents

Abstract: Indications for two different features not captured by low-order linear time series models can be found in day-to-day changes of exchange rates: long memory and conditional heteroscedasticity. These characteristics have inspired the development of ARFIMA and GARCH models. By means of Monte Carlo simulation, it is demonstrated that either of the two features stands a non-negligible chance of being detected spuriously in the presence of the other one. A table of explicit empirical smallsample quantiles for identification of long-memory structures in the presence of GARCH effects is included.;

Item Type: IHS Series
Status: Published
Date Deposited: 26 Sep 2014 10:35
Last Modified: 01 Apr 2016 14:09
URI: http://irihs.ihs.ac.at/id/eprint/644

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