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

DOI10.1007/S11079-022-09686-2zbMATH Open1530.91394OpenAlexW4297237840WikidataQ122980288 ScholiaQ122980288MaRDI QIDQ6138864FDOQ6138864

Authors: Alia Afzal, Philipp Sibbertsen 

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

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zbMATH Keywords

structural breaksfractional integrationlong memoryvolatilityexchange ratelevel shifts

Mathematics Subject Classification ID

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

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Gaussian semiparametric estimation of long range dependence
• A test against spurious long memory
• Testing for a unit root in time series regression
• Long memory and regime switching
• Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
• Testing for structural change in regression quantiles
• The economic value of volatility timing using a range-based volatility model
• Predicting daily highs and lows of exchange rates: a cointegration analysis
• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
• A multivariate test against spurious long memory
• Retail sales: persistence in the short-term and long-term dynamics

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