Long memory, spurious memory: persistence in range-based volatility of exchange rates

DOI10.1007/s11079-022-09686-2zbMath1530.91394OpenAlexW4297237840WikidataQ122980288 ScholiaQ122980288MaRDI QIDQ6138864

Philipp Sibbertsen, Alia Afzal

Publication date: 16 January 2024

Published in: Open Economies Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11079-022-09686-2

zbMATH Keywords

fractional integrationlong memoryvolatilityexchange ratestructural breakslevel shifts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

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