@techreport{Caporale2010Long,
abstract = {This paper focuses on nominal exchange rates, specifically the US dollar rate vis-\`{a}-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous studies using a standard fractional integration framework such as Granger and Ding (1996), we estimate a more general model which allows for dependence not only at the zero but also at other frequencies. The results show differences in the behaviour of the two series: a long-memory cyclical model and a standard I(d) model seem to be the most appropriate for the US dollar rate vis-\`{a}-vis the Euro and the Japanese Yen respectively.},
address = {Berlin},
author = {Guglielmo Maria Caporale and Luis A. Gil-Alana},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C22; O40; 330; Fractional integration; long memory; exchange rates; volatility; Wechselkurs; US-Dollar; Volatilit\"{a}t; Zeitreihenanalyse; Kapitalertrag; Sch\"{a}tzung; USA; EU-Staaten; Japan},
language = {eng},
number = {975},
publisher = {DIW},
title = {Long memory and volatility dynamics in the US dollar exchange rate},
type = {Discussion papers // German Institute for Economic Research},
url = {http://hdl.handle.net/10419/36756},
year = {2010}
}

