Tie-shan Hou

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To test long memory and leverage effect in daily exchange rate of Euro foreign exchange market, this paper builds ARFIMA-FIEGARCH model to the return series, using daily exchange rate of EUR/USD, EUR/JPY and EUR/GPB from 1st Jan 1999 to 31st Dec 2007. According to Akaike, Schwarz, Shibata and Hannan-Quinn information criterions, order of the model is fixed(More)
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