Long Memory in Foreign Exchange RatesRevisitedRolf Tschernig

  title={Long Memory in Foreign Exchange RatesRevisitedRolf Tschernig},
  author={Rolf Tschernig and Kirsten Neumann and Franz C. Palm and Kate Phylaktis and Christoph M. Schmidt and Peter C. Schotman and Klaus F. Zimmermann},
There has been recent evidence for long memory in the changes of foreign exchange spot rates that is captured by the fractionally integrated ARMA model. This paper extends these investigations in several directions. First, the estimation procedure allows for GARCH errors. Second, in addition to the total period from 1973 to 1990 three subperiods are analyzed. Third, for the US-Dollar spot rates of the DeutscheMark and the Swiss Franc ARFIMAmodel selection and estimation results for various… CONTINUE READING
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