Long memory volatility dependency, temporal aggregation and the Korean currency crisis: The role of a high frequency Korean won (KRW)-US dollar ($) exchange rate

Japan and the World Economy

Volumn 17, Issue 1, 2005, Pages 97-109

  Han, Young Wook ^a  

^a CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Currency crisis; High frequency Korean won US dollar exchange rate; Intraday periodicity; Local Whittle estimation; Long memory volatility dependency; Temporal aggregation

Indexed keywords

EID: 10644238585     PISSN: 09221425     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.japwor.2003.10.003     Document Type: Article

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