Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model
نویسندگان
چکیده
منابع مشابه
Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach
This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow the smooth exible functional form due to Gallant (1984). A Monte Carlo study nds that the A-FIGARCH model outperforms ...
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ژورنال
عنوان ژورنال: East Asian Economic Review
سال: 2011
ISSN: 2508-1640,2508-1667
DOI: 10.11644/kiep.jeai.2011.15.2.229