Testing for long-term memory in yen/dollar exchange rate
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Economics, Econometrics and Finance
Link
http://link.springer.com/content/pdf/10.1007/BF02425191.pdf
Reference21 articles.
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3. Chesney, M., Elliott, R.J., Madan, D. and Yang, H. (1993) Diffusin Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities are Time Varying,Mathematical Finance,3, 85–99.
4. Engle, R.F. (1993) Statistical Models for Financial Volatility,Financial Analysts Journal, January–February, 72–78.
5. Friedman, D. and Vandersteel, S. (1982) Short-Run Fluctuations in Foreign Exchange Rates,Journal of International Economics,13, 171–186.
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