Detalle Publicación

ARTÍCULO

Long memory and volatility dynamics in the US dollar exchange rate

Autores: Caporale, Guglielmo Maria; Gil Alaña, Luis Alberiko
Título de la revista: MULTINATIONAL FINANCE JOURNAL
ISSN: 1096-1879
Volumen: 16
Número: 1/2
Páginas: 105 - 136
Fecha de publicación: 2011
Resumen:
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. In the paper both absolute values of returns and squared returns are modelled using long-memory techniques, being particularly interested in volatility modelling and forecasting. Compared with previous studies using fractional integration such as Granger and Ding (1996), a more general model is estimated, 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(1) model seem to be the most appropriate for the US dollar rate vis-à-vis the Euro and the Japanese Yen respectively.
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